This issue is reports on the workshop “Models and Numerics in Financial Mathematics”, which took place at the Lorentz Center in Leiden in the Netherlands on May 26–29, 2015.
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
Serguei Mechkov initialises Heston model’s parameters using probability distributions
The authors propose a method for determining an arbitrage-free density implied by the Hagan formula.
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Banks nervy as index approaches key options barrier
Out-of-the-money options contain a hidden premium, says one quant
Inflows increasing correlations and reducing performance, say traders
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Quantization is applied to price vanilla and barrier options
Price drop and volatility spike drives interest in oil-linked structures
Stochastic volatility model combining Heston vol model and CIR++
Volatility spikes from 15 to 20 points after pro-democracy protests
Volatility benchmarks will follow launch of equity options later in 2014
But rejects price efficiency of US index options trading
Hedge funds holding their nerve in game of volatility limbo
Volatility is trading at low levels on HSCEI despite China fears