Options
Bloomberg testing use of image recognition in volatility trading
Computers could be used to spot kinks in volatility surfaces
Estimating the tail shape parameter from option prices
In this paper, the author proposes a method to estimate the tail shape parameter of the risk-neutral density.
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Russian central bank slams ruling in $1bn Sberbank swaps case
Lawyers say shock court judgement in ruble options dispute “puts hundreds of contracts at risk”
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Pricing and hedging options with rollover parameters
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
What financialisation means for oil: Ilia Bouchouev of Koch
Investor demand now drives oil prices as much as physical fundamentals
People moves: Citi axes second Asia-Pac clearing head in 18 months
Deutsche loses Asia head of global markets; StanChart hires HK chief; new Singapore head for Credit Suisse; and others
IFRS 9 expected to boost options with corporates
New rules limit options volatility in P&L; some hedgers already taking advantage, banks claim
China FX forward rules set to boost renminbi options market
PBoC extends reserve requirements on onshore forwards to foreign banks
Bond funds use derivatives to buy time for bargain hunting
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Shanghai to be first CCP to clear forex options
New service to debut in August, but liquidity risk has stalled other CCPs
‘Lottery ticket’ call options saw big losses on Brexit
Emerging market trades dropped more than 80% after 'leave' vote
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Brexit hedging leaves Ficc books unbalanced
Market-making desks struggling to recycle some client flows ahead of referendum
Valuation of options on discretely sampled variance: a general analytic approximation
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Barclays taps blockchain for equity swaps, options, swaptions
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
Ex-Citi oil options head enjoys the hedge fund life
GZC’s Elbhar rode oil spread trade to 40% annual return in 2015
Industry slams EU equity derivatives disclosure proposals
"The rules are based on assumptions that are incorrect," says Isda
LME Clear ‘welcomes scrutiny’ of CCP risk management
Oversight from clearing members is good for central counterparties, says LME Clear CEO
Dealers turn to structured products for LCR relief
Liquidity options for tackling Basel-mandated LCR come of age
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options