Volatility skew
Filling gaps in market data with optimal transport
Julius Baer quant proposes novel way to generate accurate prices for illiquid maturities
US vol experts hint at calm before storm in markets
Many buy-siders believe today’s relative tranquility in equities masks underlying fragility
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
BoJ policy shift sends traders to hedge downside yen moves
Hedge funds and corporates rush to FX options following central bank move
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Don’t fret about elevated skew, vol experts say
Extreme relative cost of tail risk hedging is driven by flows more than fear
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
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