Information derivatives

This paper considers the problem of creating derivatives to provide tailored exposure to volatility risk

It has long been recognised that the concept of randomness is essential in describing the evolution of asset prices. Traditionally, the amount of randomness in the returns of financial assets is measured by their volatility. Until recently, volatility was used merely as a descriptive concept - an important theoretical characterisation of a tradable asset. The situation has changed with the arrival of volatility derivatives such as variance and gamma swaps that treat volatility as a tradable

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What gold's rise means for rates, equities

It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…

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