Volatility skew
Sterling option volatility spikes on Brexit deal news
Trading reaches crescendo on Friday; insiders warn of further volatility
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
Skewing quanto with simplicity
George Hong presents an analytical method for pricing quanto options
Brexit drama muddies water for FX options market
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
Tail risk premiums versus pure alpha
Tail-risk skewness, rather than volatility, is correlated with risk premiums
SABR spreads its wings
SABR spreads its wings
A year of market movement and trading opportunities
Sponsored forum: US inflation derivatives
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Filling the gaps
Filling the gaps
Investors turn to hybrid equity strategies as volatilities descend to three-year lows
Investors turn to hybrid equity strategies as volatilities descend to three-year lows