Technical papers/Equity Derivatives
The vanna-volga method for implied volatilities
The vanna-volga method is a popular approach for constructing implied-volatility curves in the options market. In this article, Antonio Castagna and Fabio Mercurio give it both theoretical and practical...
Conditional variance swaps are claims on realised variance that is accumulated when the underlying asset price stays within a certain range. Being highly sensitive to movements in both asset price and...
Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies,...
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.
More Technical papers/Equity Derivatives articles
The vanna-volga method for implied volatilities
The vanna-volga method is a popular approach for constructing implied volatility curves in the options market. In this article, Antonio Castagna and Fabio Mercurio give it both theoretical and practical support by showing its tractability and robustness...
Maximum draw-down and directional trading
Maximum draw-down measures the worst drop in a market in a given time period. Jan Vecer shows how to price and replicate this event. Replication can be naturally linked to existing popular trading strategies, such as momentum or contrarian trading
Bayerische Landesbank
Bayerische Landesbank is a regular issuer in Germany, having launched 113 products so far this year, 27 of which were linked to the DJ Eurostoxx 50. Its latest offering is a reverse cliquet combining fixed and variable returns
Sorridere alle convessità
Il prezzo di un derivato basato su CMS (constant maturity swap) è ampiamente determinato dal valore delle volatilità nella swaption per strike estremi. Nel presente articolo, Fabio Mercurio e Andrea Pallavicini propongono una procedura semplice per...
The real value of stock
Collars involve the payment of a variable amount of stock, depending on an average stock price. In this article, Anthony Pavlovich uses the Black-Scholes framework to value these exotic derivatives and explore issues with hedging, as well as providing...
Absolute return volatility
The use of absolute return volatility has manymodelling benefits, says John Cotter. An illustration isgiven for the market risk measure, minimum capitalrequirements
A matter of principal
Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements,...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
Related conferences
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
-
Quant Congress USA
USA, 17th - 19th Jul 2013
-
Liquidity and Funding Risk
UK, 24th - 25th Sep 2013
-
The OTC Derivatives Markets Conference
UK, 26th Sep 2013
-
Risk USA
USA, 21st - 24th Oct 2013
Related training
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.
- Finding the Right Path to Hedge Accounting
- Don’t get left behind – how financial services need to consider their IT infrastructure
- Rebuilding Customer Trust in Retail Banking
- How customer-centric transformation can lead to an increase in revenue and streamline operations
- Anti-Money Laundering when transaction monitoring is not sufficient
Related Jobs
