Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
The authors of this paper apply a forward-looking approach to the minimum variance portfolio optimization problem for a selection of 100 stocks.
The Authors introduce a closed-form approximation for the forward implied volatilities.
Bids to use bigger datasets give no better loss forecasts, says hedge fund
Skew on major indexes leaps after market wakes up to risks of UK's referendum
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Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Few funds have tracking-error constraints, says risk institute
This issue explores the practicality of the CVaR measure as a criterion for portfolio selection, and also discusses wavelet analysis for portfolio selection and currency option pricing.
In order to separate short-term noise from long-term trends, this paper decomposes financial return series into their time and frequency domains.
Julien Guyon introduces cross-dependent volatility models and calibrate them to market smiles
This paper analyzes empirical data for 4000 real-life trading portfolios with holding periods of about 0.7-19 trading days.
A known flaw in conventional risk models is becoming hard to ignore in current markets
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
High volatility and noisy data sets have profound implications on risk management in commodity markets
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Inflows increasing correlations and reducing performance, say traders
This paper proposes a loss function-based framework for the comparative measurement of the sensitivity of quantile downside risk measures to breaks in volatility or distribution.
Sponsored feature: Deutsche Börse
Falling rand and concerns over US rates contribute to difficult year for banks
Commerzbank tops Deutsches Risk rankings for second year in a row