Variance
Equity derivatives house of the year: JP Morgan
Risk Awards 2026: Volatility strategies and technology investment help realise hyper scale-up
Cboe plans Q2 dispersion futures listing
Expectations of post-US-election uncertainty drives launch, and could help bank equity desks hedge OTC risks
Equity derivatives house of the year: Bank of America
Risk Awards 2025: Bank gains plaudits – and profits – with enhanced product range, including new variants of short-vol structures and equity dispersion
Covid halted variance trading. Can Cboe revive the market?
With liquidity in variance swaps drying up, traders may finally be ready to give futures a shot
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Realized quantity extended conditional autoregressive value-at-risk models
The author presents models for improved Value-at-Risk forecasts and joint forecasts of Value at Risk and Expected Shortfall and demonstrates that high-frequency-data-based realized quantities lead to better forecasts.
Automatic adjoint differentiation for special functions involving expectations
The authors put forward AAD algorithms for functions involving expectations and use their technique to calibrate European options.
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Subsampling and other considerations for efficient risk estimation in large portfolios
The authors apply multilevel Monte Carlo simulation to the problems inherent in computing risk measures of a financial portfolio with large numbers of derivatives.
Detecting prudence and temperance in risk exposure: the hybrid variance framework
This paper analyses the correlations between returns and HVs in the short and long terms while developing a risk measure designed to contain the impacts of prudence and temperance on risk aversion.
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Fat-tailed factors
Independent component analysis is proposed as an alternative to principal component analysis
Automatic differentiation for diffusion operator integral variance reduction
This paper demonstrates applications of automatic differentiation with nested dual numbers in the diffusion operator integral variance-reduction framework originally proposed by Heath and Platen.
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Efficient simulation of affine forward variance models
Andersen's quadratic-exponential scheme is used for simulations of rough volatility models
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
How accurate is the accuracy ratio in credit risk model validation?
The author presents four methods to estimate the sample variance of the accuracy ratio and the area under the curve.
Before and after the Covid-19 storm: buy-side risk survey
Wide-ranging survey reveals what worked and what didn’t in March – and what will change as a result
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Variance optimal hedging with application to electricity markets
In this paper, the author uses the mean–variance hedging criterion to value contracts in incomplete markets.