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
Family office investing – Special report 2020
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…
Degree of influence: volatility shakes markets and quant finance
Volatility and machine learning were among the top research areas for quants this year
Monetary policy uncertainty and jumps in advanced equity markets
The authors analyze the role of monetary policy uncertainty in predicting jumps in nine advanced equity markets.
SA-CCR tweak could slash equity risk charge – research
Better calibration would cut equity options exposures in half, research finds
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Esma warns of UK-sized hole in Europe’s fund leverage radar
Executive at hedge fund AQR also urges reform of EU leverage measures to better assess risk
FX volatilities fall on receding US election fears
Polls point to a decisive Biden win – though some worry market is being complacent