Credit Suisse and Yorkshire fined for serious breach of duty
Trade of the month: Dual directional products
Tales of tails
Trade of the month: Cliquets in the US CD market
Protection in a CD wrapper
Traditionally, smile models have been assessed according to how well they fit market option prices across strikes and maturities. However, the pricing of most recent exotic structures, such as reverse cliquets or Napoleons, is more dependent on the assumptions...
Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. Simon Johnson and Han Lee present a variant of this approach that can be used...