Exotic options
Filling the gaps
Original headline:
Source: Asia Risk
Calibrating a local volatility model to options prices is a complicated process requiring both interpolation of liquid prices and extrapolation beyond them. Recently focus has turned to efficient numerical...
Published online only
Source: Risk magazine
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt...
Published online only
Source: Risk magazine
Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional...
Worried about regulation?
Read in-depth analysis of top regulatory issues today!
Find the information you need in articles from across Risk.net on Basel III, the Dodd-Frank Act, and Solvency II.
More Exotic options articles
Exotic equity options trading matches vanilla, says SuperDerivatives
Published online only
Source: Structured Products
Trading volumes of exotic and vanilla equity options remained highly correlated related in 2009, according to derivatives pricing provider SuperDerivatives. Throughout the first half of last year, the trading of exotic and vanilla equity options by...
Exploiting Japan's renegade repos
Original headline:
Source: Asia Risk
Last year's market declines pushed the Nikkei forwards to eye-watering levels, wiping out implied dividend yields as repos dived below -100 basis points. Issuers that spotted the imbalance are now pushing structured trades that seek to profit from these...
Stock responses
Original headline:
Source: Risk magazine
Dealers' exotic books took a pounding from stock market moves earlier this year. Some banks have left the business as a result, while others are busy making changes to the way they risk-manage exotic products. By Mark Pengelly
Introducing the consumption option
Original headline:
Source: Risk magazine
Bank of America provides an introduction to consumption options - which offer similar directional exposure to vanilla options while reducing the risk of overpaying for the implied volatility component - and describes their mechanics, costs and the opportunities...
An exotic failure
Published online only
Source: Risk magazine
Banks have long talked of the importance of building distribution channels for the risks amassed through their structured products businesses. Having accumulated bulky volatility, correlation and dividend exposures, dealers have boasted about honing their...
Targeted hedging
Original headline:
Source: Risk magazine
Demand for target forwards has taken off in the past two years as liability managers look for more precise ways to manage their foreign exchange (FX) exposures. George Nunn and PK Sinha explore what these 'targeted' FX hedging tools can do and how to...
Sticky-strike and sticky-delta Greeks – casualties of the subprime crisis...
Original headline:
Source: Risk magazine
Following its recent Foreign Exchange Options symposium, Murex presents a focus on implied dynamics from exotic option prices and the application to portfolio hedging
Forgot your Risk.net password?
Renew your password now!
Make sure you don't miss a day of Risk.net's essential content. Refresh your password today online!
Related conferences
-
Risk & Return Brasil
Brazil, 30th May 2012
-
Risk & Return Brazil
Brazil, 30th May 2012
-
CRO Forum Asia 2012
Singapore, 30th - 31st May 2012
-
FX Week China 2012 - CN
China, 12th Jun 2012
-
Risk & Return Canada
Canada, 20th Jun 2012
Related training
-
Nexus-Risk Training
USA, 26th Oct 2012
-
Operational Risk Management for Energy Companies
UK, 29th - 30th May 2012
-
CVA & DVA risk and return strategies
UK, 18th Jun 2012
-
Central Clearing in Canada: 2012 and Beyond
Canada, 22nd Jun 2012
-
CVA & DVA risk and return strategies
USA, 22nd Jun 2012
Updating your subscription status 
Email alerts
Weekly poll
Technology white papers
Related Jobs
