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.
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
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
Risk Awards 2021: rough volatility models could make the options market more efficient
Market bounce-back blindsided quant investment firm – and others
Firm cancels regulatory licences; traders receiving payouts on equity stakes
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Chicago prop firm tapped $450m financing line with broker-dealer as assets grew to $34bn
Unusual pattern seen in Covid crash could help volatility sellers avoid future reversals
Has the problem of jointly calibrating the volatility smiles of the Vix and S&P 500 been solved?
Puzzling losses, a closely guarded auction and possible redemption – sources unpick Ronin’s collapse
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration