A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
In this paper, the authors study factor-based subordinated Lévy processes in their variance gamma (VG) and normal inverse Gaussian (NIG) specifications, and focus on their ability to price multivariate exotic derivatives.
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
In this paper, the authors study tail dependence by defining the conditions required for all the methods used to perform and to quantify their efficiency and accuracy.
“This time next year volatility will most likely be low,” says Fishwick
Gamma deserves share of spotlight in volatility drama
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Risk30: Low volatility aids and hinders Danish fund
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
Capital-at-risk products with European-style barriers inherently more vulnerable in a downturn
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Official post-mortem considers claims that options hedging amplified October 15 move
Huge US Treasury swing was result of hedge fund crowding and gamma hedging
Market’s big beasts played a part in wild and weird October 15 volatility
Traders point to lower volatility, but one big short is also blamed
Fast gammas for Bermudan swaptions