Delta hedging
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Tail protection for long investors: trend convexity at work
In this paper, the authors show that single-asset trend strategies have built-in convexity, provided their returns are aggregated over the right time scale, ie, that of the trend filter.
The application of structural electricity models for dynamic hedging
The authors formulate a general structural model for an energy market in order to analyze the dynamic hedging of contingent claims on spot electricity prices.
Delta-hedged gains and risk-neutral moments
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
The UK carbon floor and power plant hedging
How to calculate expected future carbon costs and optimal valuation and hedging decisions, by adjusting Monte Carlo simulations for the UK market
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Swiss franc losses blamed on liquidity gap
Options portfolios were impossible to delta-hedge, traders say
Cutting Edge introduction: Hedging dependence
Hedging dependence
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Power plant hedging strategies
Comparing delta-hedging strategies
Correlations in asynchronous markets
Correlations in asynchronous markets
Optimising and hedging power generation assets
The head of risk at Spanish utility company Endesa speaks to Lianna Brinded about the co-ordination of optimisation and hedging of power generation assets.
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are…
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are…
Volatility knocks
Variable Annuities
The rates escape
A sudden inversion of the euro interest rate curve in June caught dealers and investors by surprise, causing losses for those that had put on curve steepener trades. Dealers rushed to hedge their short gamma positions, forcing the curve to invert further…
Optional events and jumps
Masterclass – with JP Morgan