Technical papers/Equity Derivatives
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...
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...
Ausgehend von der Beobachtung, dass lognormale Markt-Caplet-Volatilitäten von weniger als 1% Normalität für Fälligkeiten von bis zu 30 Jahren implizieren, führt Chris Kenyon normalbasierte Smile-Modelle...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Equity Derivatives articles
Information derivatives
Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of 'information derivatives' includes standard volatility products...
Information derivatives
Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of 'information derivatives' includes the standard volatility products...
A short cut to the rainbow
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is...
Information derivatives
This paper considers the problem of creating derivatives to provide tailored exposure to volatility risk
Information derivatives
Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of 'information derivatives' includes the standard volatility products...
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...
Cash-settled swaptions and no-arbitrage
Fabio Mercurio derives no-arbitrage conditions that must be satisfied by the pricing function of cash-settled swaptions. He then identifies a strategy leading to an arbitrage when such conditions are not met
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
-
Managing Risks in Foreign Exchange
USA, 11th - 12th Jun 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
- Lender market advisory: swap guarantees – keepwells and excluded obligations
- Global securities enforcement activity stepping up to meet new market challenges
- M&A representations and warranties insurance: what every buyer and seller needs to know
- Green REITs, MLPs and Up-Cs
- How important is collaborative technology in managing risk?
Related Jobs
