Vix
Volatility returns to pre-Lehman levels
Market volatility across several sectors has dropped back to levels last seen before the collapse of Lehman Brothers in September 2008, lending weight to the belief that the financial markets are on the...
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling...
The New Year has seen the Ted spread, a perceived level of counterparty risk, reach its lowest level since Lehman Brothers filed for Chapter 11 bankruptcy on September 15 last year. Elsewhere, interbank...
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How banks needs to consider their IT infrastructure
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More Vix articles
Popular vol indexes plunge
Record levels of volatility in the equity market since September have caused huge losses on popular indexes that allow investors to take short implied volatility positions. These quantitative strategies aim to capture the premiums for implied volatility...
Volatility knocks
The turbulence in global equity markets has caused sizeable losses for insurance companies that have delta-hedged variable annuity exposures. Are insurers considering other options? Peter Madigan reports
"Fear index" hits high as Ted spread breaks 4%
The Ted spread, which tracks the difference between three-month Libor and US Treasury bills, hit yet another all time high today, reaching 4.03% at 1400 BST.
Smile dynamics III
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied...
Vix option pricing in a jump-diffusion model
Artur Sepp discusses Vix futures and options and shows that their market prices exhibit positive volatility skew. To better model the market behaviour of the S&P 500 index and its associated volatility skew, he introduces the stochastic dynamics of the...
Spike in equity volatility causes pain
A spike in equity volatility last month has caused anxiety among equity derivatives dealers, many of which were short volatility, and raised fears that a prolonged increase could generate hefty mark-to-market losses in equity derivatives trading books....
Calibrating and pricing with embedded local volatility models
Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate/equity hybrids is an important issue. Here, Yong Ren, Dilip Madan and Michael Qian Qian show how this can be accomplished, using a stochastic...
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Using market and credit risk analytics to strengthen performance
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