Skew
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
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
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Currency derivatives house of the year: UBS
Risk Awards 2022: T-Pricer platform enabled bank to gain technological edge
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
The step stochastic volatility model
Extreme short-dated skew can be obtained by decomposing it in two parts
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
Structured products house of the year: Credit Suisse
Risk Awards 2021: private bank tie-up provided vital risk-sharing outlet for Covid volatility
Credit derivatives house of the year: Credit Suisse
Risk Awards 2021: hedging before the crisis allowed bank to offer ample liquidity when markets tanked
Smaller drawdowns, higher average and risk-adjusted returns for equity portfolios, using options and power-log optimization based on a behavioral model of investor preferences
The authors use a power-log utility optimization algorithm based on a behavioral model of investor preferences, along with either a call or a put option overlay, to reverse the negative skewness of monthly Standard & Poor’s 500 (S&P 500) index returns…