This paper proposes a method for overhedging weighted variance using only a finite number of maturities.
Rising index likely to trigger increased volatility, say dealers
Addition of knock-outs to corridor variance swaps keeps investors happy and helps with risk recycling
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Frenzied issuance on European indexes stacks up vega risk for dealers as natural hedge suffers
A pricing tool for fixed-income volatility products is introduced
Viva Las Vega!
An easy-to-hedge covariance swap
Which model for equity derivatives?
Bayesian lessons for payout structuring
A dangerous game
A dangerous game
Recent global events have not dented the popularity of dispersion trades among hedge funds, claim bankers
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 fund’s co-founder says error of judgement and a lack of…
A volatile time
Macro hedging in disrepair
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
Short volatility positions contribute to poor equity derivatives results
Taking a long equity volatility position is a favourite macro hedge for risk managers and traders across asset classes, but the trade doesn’t always work as expected. How has the volatility experienced in May and June affected macro hedging? Joel Clark…
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt and Olaf Torné derive the fair strike when both…