Gamma
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Pricing multivariate barrier reverse convertibles with factor-based subordinators
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.
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Tail dependence in small samples: from theory to practice
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.
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
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
Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
Local variance gamma revisited
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Equity derivatives house of the year: Bank of America Merrill Lynch
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
Further investigation of parametric loss given default modeling
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).
Risk managing structured products in a falling market
Capital-at-risk products with European-style barriers inherently more vulnerable in a downturn
On the application of spectral filters in a Fourier option pricing technique
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…
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move