Skew
The quadratic rough Heston+ model for short-dated options
Skew and curvature of 0DTE are captured with an extended Heston model
S&P bull run drives interest in reset and lookback hedges
Variable strike put options proved popular alternative hedging format of 2025
Hedge funds switch yen bets after Japan election shock
Takaichi victory forces unwinds and a move to topside trades, while barriers give dealers a headache
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
Regional banks favour scenario analysis over op risk modelling
Domestic and smaller regional players favour scenarios to gauge tail exposure; G-Sibs stick to modelling, for now
Turn of the skew: FX options dealers balance fragile market
Calls-versus-puts demand flips wildly in response to geopolitical events
Corporates eye complex FX hedges as carry costs mount
Leveraged forwards and options-based structures entice treasurers facing rates uncertainty and FX volatility
Structured products house of the year: UBS
Risk Awards 2025: bulked-up structuring team is more than just the sum of its parts
BNPP ups efforts to weed out skew sniffers
French bank deploys skew sensitivity algo to help identify predatory behaviour
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Fleeting volatility vexes trend followers
Jumpy markets give quant firms the jitters as tried-and-tested strategies struggle in 2023
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities