This paper deals with volatility estimation in commodity markets. Piotr Grzywacz and Krzysztof Wolyniec note that energy commodities have many time (volatility) scales, which has dramatic implications...
Barclays has issued a second version of its iPath Long Enhanced S&P 500 Vix Mid-Term Futures ETN, which some observers say risks suffering the same fate as its predecessor unless market conditions change...
Carbon allowance trading hits all-time high in June as analysts downgrade predicted average ETS Phase 3 price to €22 per tonne
In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
More Volatility articles
Nobel winning quant makes the case for market-making as a stabilising force and a source of returns
Education emerged once more as the most vital ingredient for the successful development of the market, according to the majority of speakers at the Structured Products Americas conference. Equal attention was paid to regulation, while the product of the...
Since the pioneering work of Dupire, the local volatility function can be derived from the implied volatility surface. Calculating implied volatilities from local volatilities is classically done by numerically solving the forward equation for call prices....
Barclays Capital has launched a volatility-based product in Europe that complies with Ucits III requirements and offers a way to buy and hold the burgeoning asset class
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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