Black-scholes
Profile: NYU’s Robert Engle on volatility, liquidity and systemic risk...
Original headline:
Source: Risk magazine
The financial crisis has thrown up numerous opportunities to study the relationship between volatility and liquidity – from the freezing of structured credit markets to the 2010 flash crash – but Nobel...
Original headline:
Source: Risk magazine
Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework. Philippe Henrotte, co-founder, partner...
Original headline:
Source: Risk magazine
The use of advanced mathematics and techniques from physics helped give credibility to the financial models that proved inadequate in the crisis. Here, Emanuel Derman, an old hand in the development of...
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More Black-scholes articles
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation...
Original headline:
Source: Risk magazine
Quants received a lot of flak for the crisis, but the profession is on the cusp of a golden age, according to Myron Scholes, co-inventor of the Black-Scholes pricing model. In an interview with Laurie Carver, he also criticises post-crisis regulation,...
Lifetime achievement award: John Hull
Original headline:
Source: Risk magazine
Ask any derivatives professional where they first learned about the subject and there’s a good chance they will tell you John Hull’s celebrated textbook, Options, futures and other derivatives. Heading for its eighth edition early this year, the...
Volatility: the next mainstream asset class?
Original headline:
Source: Structured Products
Trading volatility used to be the domain of an elite group of sophisticated investors but this year pension funds and even retail investors started snapping up the latest generation of products. It could be a flash-in-the-pan fad but more likely volatility...
Technology provider of the year, Asia – Numerix
Published online only
Source: Structured Products
For its continued expansion in China and South Korea as well as its established business in Japan, Numerix is the Structured Products Technology Provider of the Year for Asia
Parameter estimation with k-means clustering
Published online only
Source: Risk magazine
Ever since the pioneering work of Cox, Ross & Rubinstein (1979), tree models have been popular as an asset pricing method. However, statistical estimation of the parameters of tree models has been less studied. In this article, Kiseop Lee and Mingxin...
Lifetime Achievement Award - Bruno Dupire
Original headline:
Source: Risk magazine
Bruno Dupire was 15 years old when Fischer Black, Myron Scholes and Robert Merton published their keystone work on the calculation of option prices. He would be almost 30 by the time he first entered the finance industry, after an early life as an academic...
Pricing exotics under the smile
Original headline:
Source: Risk magazine
The volatility implied from the market prices of vanilla options,using the Black-Scholes (1973) formula, varies withboth maturity and strike price. The typical, distinctiveshape of this volatility surface is generally referred to asthe volatility smile....
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