Volatility
If dogecoin goes to the moon, a risk manager should go too
There seems little logic to the price of meme assets – but bold investors can protect themselves, says tech expert
The step stochastic volatility model
Extreme short-dated skew can be obtained by decomposing it in two parts
Option pricing using high-frequency futures prices
The authors examine two potential routes to improve the outcome of option pricing: extracting the variance from futures prices instead of the underlying asset prices, and calculating the variance in different frequencies with intraday data instead of…
Insider fraud – Getting security and controls right
Even prior to the Covid-19 pandemic, insider threats were reported to be increasing with 48% of firms indicating that incidents were on the rise within their organisations. Where are so many firms going astray?
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
The price of Bitcoin: GARCH evidence from high-frequency data
This is the first paper that estimates the price determinants of Bitcoin in a generalized autoregressive conditional heteroscedasticity (GARCH) framework using high-frequency data.
Modeling realized volatility with implied volatility for the EUR/GBP exchange rate
This paper concerns the application of implied volatility in modeling realized volatility in the daily, weekly and monthly horizon using high-frequency data for the EUR/GBP exchange rate.
Hero or villain? NSCC draws fire for Robinhood margin waiver
Fears of moral hazard after CCP waives billions in margin demands following meme-stock volatility
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
Deep hedging strays when volatility gets rough – study
In the most realistic simulations, data-driven approach fared 30% worse than conventional hedging
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
A verification model to capture option risk and hedging based on a modified underlying beta
This paper analyzes the relationship between option risk and expected return from the perspective of the underlying beta, and estimates the degree of correlation.
My kingdom for the right copula
Copulas can still deliver if chosen with due attention to intuition and data, says quant fund chair
Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
Exchange of the year: CME Group
Risk Awards 2021: Changes to options strikes helped CME avoid major mishaps in volatile 2020
Derivatives client clearer of the year: JP Morgan
Risk Awards 2021: Bank avoided tech snags and margin call surprises that plagued peers during crisis
Clearing house of the year: Eurex Clearing
Risk Awards 2021: Clearer’s Prisma margin model proves its mettle in year of market tumult
Ex-SunGard chief Cris Conde’s random walk to fintech and beyond
Technologist talks artificial intelligence, angel investing and accidentally contributing to the Basel framework
Quants of the year – Jim Gatheral and Mathieu Rosenbaum
Risk Awards 2021: Rough volatility models could make the options market more efficient
Universalities in the dynamics of cryptocurrencies: stability, scaling and size
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.
Random matrix theory provides a clue to correlation dynamics
A growing field of mathematical research could help us understand correlation fluctuations, says quant expert
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed