Cutting Edge introduction: viva cross-vegas

Viva cross-vegas

vladimir-piterbarg

Traditional models for pricing single-rate derivatives only look at their sensitivity to the implied volatility of the underlying rate – known as vega – in the same way that a single-stock equity option would typically be modelled. But fixed-income instruments are not like equities – no rate is an island, but instead exists within a term structure, subject to strict no-arbitrage requirements – and this means vega calculation is not quite as straightforward.

In CMS: covering all bases, Simon

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: