This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.
Risk Awards 2021: US bank vaults into the top-tier, with some help from Garry Kasparov
Options traders saw odd quotes by US bank months before losses were publicised
A variation of the rough volatility model is introduced by plugging in a different stochastic process
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.
Rising index likely to trigger increased volatility, say dealers
Addition of knock-outs to corridor variance swaps keeps investors happy and helps with risk recycling
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Frenzied issuance on European indexes stacks up vega risk for dealers as natural hedge suffers
A pricing tool for fixed-income volatility products is introduced
Viva Las Vega!
An easy-to-hedge covariance swap
Which model for equity derivatives?
Bayesian lessons for payout structuring
A dangerous game
A dangerous game
Recent global events have not dented the popularity of dispersion trades among hedge funds, claim bankers
Artradis was one of Asia’s most successful hedge funds until it hit difficulties in 2009 and 2010 that resulted in losses of $700 million and culminated in its closure in late February. But the fund’s co-founder says error of judgement and a lack of…