Technical paper
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered in…
Cutting Edge introduction: Hedging dependence
Hedging dependence
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Market reaction to price changes and fat-tailed returns
Market reaction to price changes and fat-tailed returns
Optimal design of volatility-driven algo-alpha trading strategies
Optimal design of volatility-driven algo-alpha trading strategies
Cutting edge introduction: perturbing the smile
Perturbing the smile
Quanto adjustments in the presence of stochastic volatility
Quanto adjustments in the presence of stochastic volatility
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Valuation of commodity structures in co-integrated futures markets
Valuation of commodity structures in co-integrated futures markets
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Cutting edge introduction: exploring constant maturity asset swaps
Exploring constant maturity asset swaps
CMS: covering all bases
CMS: covering all bases
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Full implications for CMS convexity
Full implications for CMS convexity