  We discuss the class of "Quadratic Normal Volatility" models, which have
drawn much attention in the financial industry due to their analytic
tractability and flexibility. We characterize these models as the ones that can
be obtained from stopped Brownian motion by a simple transformation and a
change of measure that only depends on the terminal value of the stopped
Brownian motion. This explains the existence of explicit analytic formulas for
option prices within Quadratic Normal Volatility models in the academic
literature.
