Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations...
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Implied volatility articles
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
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
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.