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.
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Losses put at roughly $150m – even before markets tanked on March 9
Beyond central bank policy, traders see a range of hidden structural factors at work
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
Risk USA: Nobel laureate’s new ‘Geovol’ model suggests geopolitical risk no higher than during past 20 years
In this paper, the authors present a multiperiod portfolio management strategy that can be used to directly manage the realized volatility over a long time horizon.
The aim of this paper is twofold: (i) to introduce two recursive estimation algorithms suitable for the EWMA process that are applicable for routine volatility predictions, and (ii) to investigate their prediction ability by comparing them with other…
Floored short funding legs and long vega worked in latest US selloff, dealers claim
“This time next year volatility will most likely be low,” says Fishwick
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Gamma deserves share of spotlight in volatility drama
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Losses estimated at close to $500 million as US index volatility spikes
Markets were oddly calm this year, while everything else was in motion
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
Out-of-the-money options contain a hidden premium, says one quant
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
Time for a timer
Volatility levels in equity markets in 2012 will be similar to those experienced in 2011, according to Barclays Capital
House of the year