Gamma
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
Local variance gamma revisited
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Complex short Vix products draw fire as vol plumbs lows
Hedging effects mean popular exchange-traded products vulnerable to big losses if volatility spikes
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Equity derivatives house of the year: Bank of America Merrill Lynch
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
Further investigation of parametric loss given default modeling
The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
Risk managing structured products in a falling market
Capital-at-risk products with European-style barriers inherently more vulnerable in a downturn
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
Piecing together the October 15 puzzle
Huge US Treasury swing was result of hedge fund crowding and gamma hedging
No flash crash: Paulson, Pimco and the US Treasury meltdown
Market’s big beasts played a part in wild and weird October 15 volatility
Euro inflation floors hit three-year low
Traders point to lower volatility, but one big short is also blamed
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Equity derivatives house of the year: Société Générale
Risk awards 2011
Curbing dispersion exposure
Dispersion tactics