Technical papers/Equity Derivatives
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...
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 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 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
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...
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...
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,...
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.
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