Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
A power law can fit the ATM skew, but struggles with short maturities
A new model that jointly fits the smiles of VIX and SPX is presented
Implied volatility for short-dated options points to shift in sentiment after SVB failure
Historic divergence has caught the eye of Boaz Weinstein and others
The authors offer a VIX pricing algorithm for stochastic Volterra rough volatility models where the volatility is dependent of the vol-of-vol which reproduces key features of real-world data.
The authors extend their impact cost model beyond the typical factors to address the larger transaction costs brought on by stock market crowding effects in times of market turbulence.
Rough vol models are calibrated and fitted to SPX and Vix smiles
The authors consider the pricing of the Chicago Board options Exchange VIX, demonstrating experiments highlighting the efficiency of a multilevel approach in pricing of VIX options.
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
The authors use a measure that captures the expected evolution of risk and generate results supportive of the concept that there are multiple facets within volatility risk that are priced individually.
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Investors have to keep sending money to private equity firms even if returns crumble, says hedge fund executive
US equity reversal on January 24 has spawned many theories, but no solid answers
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
This paper examines the CBOE VIX, the VIX options’ implied volatility and the smirks associated with these options.
Using equity, index and commodity options to obtain forward-looking measures of equity and commodity betas and idiosyncratic variance
This paper presents a means to extract forward-looking measures of equity and commodity betas, and idiosyncratic variance.
Asia Risk Awards 2021
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Investors should switch between factors as alphas change, says quant