Banks nervy as index approaches key options barrier
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Dealers lose over $300 million in scramble to hedge autocallables
Barnstorming year in Hong Kong equities coupled with continued CNH dominance drives HSBC to first place
Local correlation families
Viva Las Vega!
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the...
Sponsored forum: US inflation derivatives
Tales of tails
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled....
Momentum trading: ’skews me
Efficient hedging – Using market distortion to your advantage
Perturbing the smile
Risk awards 2012
Perturbed Gaussian copula: introducing the skew effect in co-dependence
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
Filling the gaps
Volatility of volatility spike drives options liquidity squeeze
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...
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
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant