Morgan Stanley creates 124 more managing directors

Blyth co-authored a technical article with John Uglum, published in Risk July 1999, called ‘Rates of skew’. It focused on the implied volatility skew related to interest rates options pricing. Implied volatility skew was the most closely observed flaw in the Black-Scholes option pricing model at that time. Until Blyth and Uglum’s research, most attention had focused on implied volatility skew with regard to equities and foreign exchange.

Blyth also wrote a paper, ‘Out of Line’ (Risk October 1996), which introduced non-linear models of correlations and their potential application in finance.

Philip Kearns, an expert on mortgage and treasury options, was also promoted to managing director; as was European head of credit derivatives trading Annabel Littlewood.

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