Misunderstanding of the correlation between global levels of volatility leading Asian investors to place too much faith in Vix, according to Edhec Risk Institute
For 20 years, Chicago-based CBOE has marketed the Vix as the only volatility measure investors need. Across town, a tiny upstart is challenging this. Will its new index win over the world’s biggest banks?...
The yen has become more range-bound following its dramatic fall earlier in the year, creating a lull in FX market activity during the western summer weeks
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Implied volatility articles
Risk management of equity-linked structured notes requires consistent modelling of both stocks’ smiles and stochastic interest rates. Existing approaches require costly computations to capture highly curved smiles – especially at long-dated maturities....
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. However, if the Brownian motions driving the forward and its volatility are uncorrelated, option...
Institutions are creating demand for Topix options, outweighing supply
Institutional demand for Topix options outweighs supply and is creating basis risk for dealers hedging their positions
Convertible arbitrage offers compelling returns and diversification benefits, yet investors have turned their backs on the strategy for all the wrong reasons, according to Advent Capital Management.
The asymptotic behaviour of local volatility surfaces for low and high strikes – the so-called wings – is important in option pricing and risk management. Stefano De Marco, Peter Friz and Stefan Gerhold show certain models allow for the derivation...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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