Skew
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…
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Sterling option volatility spikes on Brexit deal news
Trading reaches crescendo on Friday; insiders warn of further volatility
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
Brexit drama muddies water for FX options market
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
Statistical analysis of photovoltaic and wind power generation
The author presents a comparison between maximal and daily average production of photovoltaic and wind energy based on a transmission system operator in Germany using statistical analysis with different seasonality functions.
Auditors: the extra line of defence
If CDS skew spikes, some banks may be thankful for conservative accountants
Commodity volatility, skew and inverse leverage effect
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Totally skewed: US annuity hedges magnify S&P volatility
Dealer hedging of popular retirement products affecting index greeks, say traders
Sliding HSCEI threatens fresh autocallable losses
Banks nervy as index approaches key options barrier
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Korean crunch: how HSCEI fall hammered exotics desks
Dealers lose over $300 million in scramble to hedge autocallables
Asia house of the year: HSBC
Barnstorming year in Hong Kong equities coupled with continued CNH dominance drives HSBC to first place