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
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
More Implied volatility articles
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
National Stock Exchange of India about to launch the fourth Asian equity volatility index this week
Misunderstanding of the correlation between global levels of volatility leading Asian investors to place too much faith in Vix, according to Edhec Risk Institute
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
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
Myths and reality
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.