Technical papers/Equity Derivatives
Assets relative risk for long-term investors
The relative riskiness of equity compared to bonds and bills goes down when the investment horizon increases. Stakeholders in the savings industry should consider this fact for the sake of the consumers'...
Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate/equity hybrids is an important issue. Yong Ren, Dilip Madan and Michael Qian Qian show...
Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate/equity hybrids is an important issue. Here, Yong Ren, Dilip Madan and Michael Qian...
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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
Pricing with a smile
In the January 1994 issue of Risk, Bruno Dupire showed how the Black-Scholes model can be extended to make it compatible with observed market volatility smiles, allowing consistent pricing and hedging of exotic options
Kalibrierung - Markov-Projektion zur Kalibrierung der Volatilität
Vladimir Piterbarg erläutert die grundsätzlich auf jedes (Diffusions) Modell anwendbare "Markov-Projektionsmethode", mit der in geschlossener Form Approximationen an Preise europäischer Optionen auf verschiedene Basiswerte möglich sind. Hier wird...
Realised volatility and variance: options via swaps
Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps - or alternatively vanilla options - as pricing benchmarks and hedging instruments....
Markovian projection for volatility calibration
Vladimir Piterbarg looks at the Markovian projection method, a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the essence...
Realised volatility and variance: options via swaps
Peter Carr and Roger Lee present explicit and readily applicable formulas for valuing options on realised variance and volatility. They use variance and volatility swaps – or alternatively vanilla options – as pricing benchmarks and hedging instruments....
Purchase timing
Managing purchase timing risk is a constant issue for wholesale power buyers. Pavel Diko reviews products that reduce this risk, proposes a lookback option that can eliminate it completely and outlines a hedging strategy for the option writer
Markovian projection for volatility calibration
Vladimir Piterbarg looks at the 'Markovian projection method', a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the essence...
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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