Skew
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Sterling option volatility spikes on Brexit deal news
Trading reaches crescendo on Friday; insiders warn of further volatility
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
The credit skew market’s surprise package
Mediobanca’s €1.6 billion in issuance makes small Italian investment bank a market titan
Brexit drama muddies water for FX options market
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
Statistical analysis of photovoltaic and wind power generation
The author presents a comparison between maximal and daily average production of photovoltaic and wind energy based on a transmission system operator in Germany using statistical analysis with different seasonality functions.
Auditors: the extra line of defence
If CDS skew spikes, some banks may be thankful for conservative accountants
Commodity volatility, skew and inverse leverage effect
Krzysztof Wolyniec on leverage effects and volatility in commodity markets
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Totally skewed: US annuity hedges magnify S&P volatility
Dealer hedging of popular retirement products affecting index greeks, say traders
Sliding HSCEI threatens fresh autocallable losses
Banks nervy as index approaches key options barrier
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Korean crunch: how HSCEI fall hammered exotics desks
Dealers lose over $300 million in scramble to hedge autocallables
Asia house of the year: HSBC
Barnstorming year in Hong Kong equities coupled with continued CNH dominance drives HSBC to first place
Local correlation families
Local correlation families
Viva Las Vega: Japan banks take advantage of volatility play
Viva Las Vega!
Uridashi losses put at $500 million after Nikkei rebounds
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the…
A year of market movement and trading opportunities
Sponsored forum: US inflation derivatives
Cutting Edge introduction: Tales of tails
Tales of tails
Cutting Edge introduction: Followers of fashion
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled…
Momentum trading: ’skews me
Momentum trading: ’skews me