Skew
Equity derivatives house of the year: JP Morgan
Original headline:
Japan’s equity markets started 2011 in good shape. The Nikkei 225 index had climbed 18% over the previous four months and added a bit more ground during the first quarter, up to the point markets closed...
Original headline:
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian...
Original headline:
Santander protects the value of its growing Brazilian business with a huge hedging programme that leaves its counterparties long the real. That became a source of intense pain when the currency fell like...
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More Skew articles
Dealers tout dividends despite slide
Published online only
The recent collapse in the value of dividends is a reminder of painful 2008 losses for dealers – but the industry says long positions will make money in any scenario short of catastrophe. Mark Pengelly reports
Market-consistent equity risk premiums
Original headline:
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. Here, Adrian Alscher and Angus Graham show that by adapting the model to...
Filling the gaps
Original headline:
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 methods. Here, Alex Lipton and Artur Sepp show...
Volatility of volatility spike drives options liquidity squeeze
Original headline:
Options market metrics suggest dealers have navigated volatility surge without serious pain - but the market did experience a brief liquidity squeeze
Risk interdealer rankings 2011: Dealers
Published online only
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and US debt contributed to a surge in volatility and risk aversion. For the third year in a row, Deutsche...
Mexico driving put skew in Brent, say brokers
Published online only
The put skew in Brent crude oil is close to its yearly high. This is being driven by the hedging programme of Mexico, as well as more general risk aversion on macroeconomic worries, according to brokers
Quant Congress USA: BMW options "a recipe for disaster", says Dupire
Published online only
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
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