Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
This paper examines the CBOE VIX, the VIX options’ implied volatility and the smirks associated with these options.
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
An algorithm for the market-making of options on different underlyings is proposed
Move to cross-sell risk analytics could herald further content deals for bank’s Marquee platform, says sales chief
Short volatility players try to box clever after strategy’s Covid rout
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