This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
The authors devise a neural network-based compression/completion methodology for financial nowcasting.
The SABR model for volatility is adapted to price risk-free rate caplets
Risk Awards 2021: rough volatility models could make the options market more efficient
In this paper, the authors discuss all aspects of derivative pricing under the Heston–CLV model: calibration with an efficient Fourier method; a Monte Carlo simulation with second-order convergence; and accurate partial differential equation pricing…
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
Polls point to a decisive Biden win – though some worry market is being complacent
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Interview: Trading from home may be odd, but Amundi’s FX head was ready for other stresses
Model tuned to negative prices has implications for pricing, margining and delta hedging
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
Traders split on whether virus impact, or central bank responses, will prove most powerful
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
Losses put at roughly $150m – even before markets tanked on March 9