In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
The SABR model for volatility is adapted to price risk-free rate caplets
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
Risk Awards 2021: changes to options strikes helped CME avoid major mishaps in volatile 2020
Risk Awards 2021: bank avoided tech snags and margin call surprises that plagued peers during crisis
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
Risk Awards 2021: rough volatility models could make the options market more efficient
The authors explore the effects of market capitalization on the dynamics of cryptocurrencies within both returns and volatility networks and show that these cryptocurrencies exhibit scaling properties in volatility with respect to market capitalization.
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Even before the tumultuous events of 2020, many wealthy family investors across Asia were becoming more careful with their investments – wary that the longest bull market in history had to end sometime. Their prudence proved well judged when storm clouds…
Volatility and machine learning were among the top research areas for quants this year
The authors analyze the role of monetary policy uncertainty in predicting jumps in nine advanced equity markets.
Better calibration would cut equity options exposures in half, research finds
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
Polls point to a decisive Biden win – though some worry market is being complacent
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
While stock volatility is boosting inline warrant turnover, it’s driving bets more suited to wholesale products