Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
CLICK HERE TO VIEW THE PDF
Lorenzo Bergomi examines local-stochastic volatility models and derives a simple condition such models must obey so the carry profit and loss of a delta-hedged/vega-hedged position makes sense in a trading context. This article gives examples of admissible and non-admissible models and discusses the issue of the delta position in the hedge portfolio. It ends with a
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Short dollar bets make cautious return after safe-haven rush
Cautious USD-weakening positions re-emerge despite return of natural ‘dollar smile’ hedge
Ice’s Sprecher: institutional prediction bets ‘a matter of time’
Longer-term vision for ‘niche’ energy event contracts may be aided by recent Polymarket tie-up
The ‘addictive’ way of working behind Marex’s rapid growth
Staff are encouraged to run lots of little experiments to figure out what works – and what doesn’t
CME’s Duffy warns against government intervention in oil markets
Exchange head doesn’t rule out possibility of oil hitting $150 a barrel
Offshore bonds to give China lifers a yield lifeline
Expansion of Bond Connect scheme will provide higher yielding assets for life insurers, and may ease concerns over asset-liability management
Prop AMM makes CIO Jump to attention
Jump Trading’s Olsen says new tool allows users to create a ‘mini’ version of the firm
Morgan Stanley makes cuts to real money FX coverage
Departures from London-based team came as bank was reportedly shedding 2,500 jobs
Wheels in motion: AB fully automates forex trade execution
US fund manager claims to save time and money with hands-free trading
