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Uncertain volatility

Interest Rate Derivatives

ECB may extend full allocation tenders into 2011

Published online only

Source: Risk magazine

Any withdrawal of liquidity by the ECB at year-end would cause major uncertainty, say bankers

Risk magazine | 29 Jul 2010  Image
ecb-office-frankfurt
Market Data

Uncertain volatility

Original headline: Market risk

Source: Risk magazine

While options traders have gravitated towards stochastic volatility to maintain riskneutrality and market completeness, risk managers have no such obligation. Here,Terry Lyons and Adam T Smith take market...

Risk magazine | 01 Sep 1999  Image
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