Vix
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure
‘Spectacular’ vol disconnect ‘ominous’ for risk assets
Historic divergence has caught the eye of Boaz Weinstein and others
Least squares Monte Carlo methods in stochastic Volterra rough volatility models
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.
Enhanced expected impact cost model under abnormally high volatility
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.
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
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.
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Future portfolio returns and the VIX term structure
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.
‘Trend’ triumphs in uncertainty, but not as it wanes – study
Quant investing approach thrives in extremes of market uncertainty; calm hinders it
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
The $1 trillion shortfall if private equity bets turn sour
Investors have to keep sending money to private equity firms even if returns crumble, says hedge fund executive
Vanna and the Big Put: unusual suspects in a market mystery
US equity reversal on January 24 has spawned many theories, but no solid answers
What quant finance can learn from a 240-year-old problem
Optimal transport theory offers a data-driven way to calibrate derivatives pricing models
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Forecasting volatility and market returns using the CBOE Volatility Index and its options
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.
Equity derivatives house of the year: BNP Paribas
Asia Risk Awards 2021
FX option selling and weak demand behind vol slide, say traders
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
Rough volatility’s steampunk vision of future finance
Some of the trickiest puzzles in finance could be solved by blending old and new technologies
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Factor woes prove need for better timing – QuantZ’s Sharma
Investors should switch between factors as alphas change, says quant