Frenzied issuance on European indexes stacks up vega risk for dealers as natural hedge suffers
ABSTRACT We develop an efficient Monte Carlo method for the valuation of financial contracts on discretely realized variance.We work with a general stochastic volatility model that makes realized variance...
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Viva Las Vega!
Artradis was one of Asia’s most successful hedge funds until it hit difficulties in 2009 and 2010 that resulted in losses of $700 million and culminated in its closure in late February. But the fu...
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
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