Variance swaps
Equity derivatives house of the year: Bank of America
Risk Awards 2025: Bank gains plaudits – and profits – with enhanced product range, including new variants of short-vol structures and equity dispersion
Follow the moneyness
Barclays quants extend Bergomi’s skew stickiness ratio to all strikes
Sticky varswaps
Bergomi's skew-stickiness ratio is extended to the setting of variance swaps
The CTMC–Heston model: calibration and exotic option pricing with SWIFT
This work presents an efficient computational framework for pricing a general class of exotic and vanilla options under a versatile stochastic volatility model.
Equity derivatives house of the year: Citi
Risk Awards 2021: US bank vaults into the top-tier, with some help from Garry Kasparov
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised
ADOL: Markovian approximation of a rough lognormal model
A variation of the rough volatility model is introduced by plugging in a different stochastic process
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Knocking out corridor variance
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Local variance gamma revisited
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
Efficient pricing and super-replication of corridor variance swaps and related products
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.
Autocall hedging set to push Euro Stoxx volatility higher
Rising index likely to trigger increased volatility, say dealers
Deal of the year: Credit Suisse
Addition of knock-outs to corridor variance swaps keeps investors happy and helps with risk recycling
Valuation of options on discretely sampled variance: a general analytic approximation
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Autocallable issuance upsets Euro Stoxx volatility market
Frenzied issuance on European indexes stacks up vega risk for dealers as natural hedge suffers
Pricing and hedging variance swaps on a swap rate
A pricing tool for fixed-income volatility products is introduced
Viva Las Vega: Japan banks take advantage of volatility play
Viva Las Vega!
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap