Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. However, if the Brownian motions driving the...
US inflation markets have been through some major events in 2012, including the launch of open-ended quantitative easing and knock-on effects from the forced unwind of Greek asset swaps. Against a backdrop...
More Volatility skew articles
The capital asset pricing model used to determine excess return for a given risk level and allocate assets typically uses historical data, which can be a poor predictor of risk. Here, Adrian Alscher and Angus Graham show that by adapting the model to...
Calibrating a local volatility model to options prices is a complicated process requiring both interpolation of liquid prices and extrapolation beyond them. Recently focus has turned to efficient numerical methods. Here, Alex Lipton and Artur Sepp show...
There is still good value in owning volatility as a risk management tool, either as an overlay to a long equity portfolio or to replace long equity exposure with the upside strategies, says Deutsche Bank strategist
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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