Research notes on options, volatility and quantitative finance by Ciaran Gaffney, a mathematics student at the University of Edinburgh.https://ciarangaffney.uk/https://ciarangaffney.uk/blog/fat_tails/https://ciarangaffney.uk/blog/fat_tails/Do daily returns follow a normal distribution or do they have fat tailsFri, 16 Oct 2026 00:00:00 GMThttps://ciarangaffney.uk/blog/vol_clustering/https://ciarangaffney.uk/blog/vol_clustering/Are big market moves followed by more big moves? Black–Scholes assumes volatility is constant. If clustering is real, that assumption fails.Thu, 15 Oct 2026 00:00:00 GMT