Volatility
Markets perceive the future in very distorted ways
Discounting paradigms should adapt to be more realistic, says Jean-Philippe Bouchaud
Capturing smile dynamics with the quintic volatility model: SPX, SSR and VIX
A new model captures the term structure of SPX & VIX implied volatilities, ATM skew, and the skew-stickiness ratio
Asian banks close out energy clients as Iran war bites
Firms with short jet fuel positions faced losses up to $100 million as initial margin soared 566%
The dollar do-si-do: hedgers review FX moves
Brief return of US dollar to safe-haven status amid Iran upheaval prompts real money investors to pause hedging activity
An econometric investigation on the stability of stablecoins: are these coins stable or is their stability just a flip of the coin?
The authors investigate the volatility dynamics of US-dollar-backed stablecoins, challenging the assumption of inherent stability using a multilevel econometric framework.
SRT deals shelved amid Iran and AI concerns
Simple and risk-reducing deals prioritised as growing fears disrupt synthetic risk-transfer pipeline
Oil clearing volumes surge at Ice, CME
Ice Europe nears Brent clearing record midway through March
CRO view: Emerging risks in the age of AI
The risk agenda is shifting beyond market and credit volatility towards operational resilience, AI governance and culture
Short dollar bets make cautious return after safe-haven rush
Cautious USD-weakening positions re-emerge despite return of natural ‘dollar smile’ hedge
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers
Goldman tripped up by VAR in Q4
BNY and Citizens also record backtesting exceptions
After market whipsaws, banks put new twist on QIS options
Variable strike options aim to catch recoveries after volatility spikes
QIS futures debut – but only simple ones for now
Goldman and Societe Generale kick-start Eurex market with equity baskets
Convex volatility interpolation
The modelling of implied volatility surfaces is reframed as an optimisation problem
Integration strengthens e-trading in persistently volatile markets
Survey reveals that traders are grappling with daily volatility, while technology outranks liquidity as the top market structure concern
Markets never forget: the lasting impression of square-root impact
Jean-Philippe Bouchaud argues trade flows have a large and long-term effect on asset prices
Podcast: Pietro Rossi on credit ratings and volatility models
Stochastic approaches and calibration speed improve established models in credit and equity
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
Investors turn to costly ‘all-weather’ hedging strategies
Geopolitical and technology risks spur demand for multi-strategy QIS tail hedges
LatAm FX carry trade shrugs off geopolitical fears
Clients in regional carry positions remain undeterred by US interventions, say dealers
S&P bull run drives interest in reset and lookback hedges
Variable strike put options proved popular alternative hedging format of 2025