Skew
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
Local correlation families
Local correlation families
Viva Las Vega: Japan banks take advantage of volatility play
Viva Las Vega!
Uridashi losses put at $500 million after Nikkei rebounds
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the…
A year of market movement and trading opportunities
Sponsored forum: US inflation derivatives
Cutting Edge introduction: Tales of tails
Tales of tails
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Momentum trading: ’skews me
Momentum trading: ’skews me
Sponsored feature: Royal Bank of Scotland
Efficient hedging – Using market distortion to your advantage
Cutting edge introduction: perturbing the smile
Perturbing the smile
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Dealers tout dividends despite slide
The recent collapse in the value of dividends is a reminder of painful 2008 losses for dealers – but the industry says long positions will make money in any scenario short of catastrophe. Mark Pengelly reports
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Filling the gaps
Filling the gaps
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
Risk interdealer rankings 2011: Dealers
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and US debt contributed to a surge in volatility and risk aversion. For the third year in a row, Deutsche…