Degree of influence 2022: In the grip of volatility
Rough volatility, liquidity and trade execution were quants’ top priorities this year
Volatility was everywhere in 2022, including Risk.net’s Cutting Edge section – of the 30 papers published in the past 12 months, around a third were on the subject of either modelling or managing volatility in trading books.
Among these was a paper by Jim Gatheral, a professor at Baruch College of the City University of New York, on the simulation of rough volatility models – a class of models he
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 Our take
There’s a punt factor in stocks that investors might be missing
Speculative trading creates linkages between crypto and equities that vary depending on the stocks in question
Passive investing and Big Tech: an ill-fated match
Tracker funds are choking out active managers, leading to hyped valuations for a dangerously small number of equities
Sticky fears about sticky inflation
Risk.net survey finds investors are not yet ready to declare victory on inflation – with good reason
Why a Trumpian world could be good for trend
Trump’s U-turns have hit returns, but the forces that put him in office could revive the investment strategy
Roll over, SRTs: Regulators fret over capital relief trades
Banks will have to balance the appeal of capital relief against the risk of a market shutdown
Thrown under the Omnibus: will GAR survive EU’s green rollback?
Green finance metric in limbo after suspension sees 90% of top EU banks forgo reporting
Has the Collins Amendment reached its endgame?
Scott Bessent wants to end the dual capital stack. How that would work in practice remains unclear
Talking Heads 2025: Who will buy Trump’s big, beautiful bonds?
Treasury issuance and hedge fund risks vex macro heavyweights
