
Rough volatility models
Join Jim Gatheral, presidential professor of mathematics at Baruch College, City University of New York, and Mathieu Rosenbaum, professor at École Polytechnique, as they discuss how rough volatility models could make the market more efficient.
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.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
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. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Investing
Welcome to a new ecosystem for managing credit risk
How Eurex is using credit index futures to build the next frontier for exchange-traded derivatives
Cboe’s new options add diversity and liquidity to the credit market
Cboe has recently launched two options on futures products to help investors manage exposure and mitigate risk in corporate bond portfolios: options on iBoxx high-yield corporate bond index futures (IBYO), and options on iBoxx investment-grade corporate…
Navigating IFRS 9: strategies for effective implementation, and what comes next
A recent webinar focused on the Apac region, sponsored by SAS and Intel, explored the key challenges of implementing IFRS 9, the insights gained from the process and what the next stages might involve. This article explores the main themes covered in the…
Evolution of the fixed income tradable ecosystem
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introduction to these instruments and highlights their performance in recent market periods
Active versus passive investment in declining markets
The latest S&P Indices versus Active (SPIVA®) Scorecard provides an update on the active versus passive investment debate
Managing a high-inflation environment with clearing
Recent geopolitical events, macroeconomic forces and market disruptions have created significant challenges for the investment community. LCH explores how clearing can help market participants manage inflation.
Regulating interest rate risk
Over the past decade, regulators have introduced stress tests, liquidity and funding standards – and overhauled rules specifically on IRRBB – that have all had some bearing on the current crisis. But they haven’t yet been implemented fully, or equally,…
The future of capital raising in Asia: inside Crédit Agricole CIB’s client-centric solution offerings
Asia’s fixed income markets represent a pool of prospects in which investors can allocate capital to markets that are relatively isolated from global macroeconomic trends