Julius Baer equity quant revels in solving problems for the trading desk
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
In these uncertain times, when rates hikes and other structural drivers are giving rise to adverse market moves, reliable indicators of 30-day implied volatility are crucial
The authors propose an explicit formula for the conversion of implied volatilities corresponding to dividend modelling assumptions which covers a wide range of strikes and maturities.
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Reaction to tax cuts sparks most active week for GBP/USD options traders since Brexit negotiations
Rough vol models are calibrated and fitted to SPX and Vix smiles
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
The authors use a measure that captures the expected evolution of risk and generate results supportive of the concept that there are multiple facets within volatility risk that are priced individually.
A framework to account for vanilla options' performance in trading strategies is presented
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Natixis quants find novel way to speed up volatility smile modelling
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Forward start volatility swaps and their pricing and hedging models are introduced
Hedge funds and corporates rush to hedge potential rises in euro interest rates – but sellers aren’t there, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.
Basis between physical and non-deliverable trades hits record high as users shun local currency
New simulation scheme clears the way for broader application of the rough Heston model
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models