Skew
Sponsored feature: Royal Bank of Scotland
Efficient hedging – Using market distortion to your advantage
Cutting edge introduction: perturbing the smile
Perturbing the smile
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Dealers tout dividends despite slide
The recent collapse in the value of dividends is a reminder of painful 2008 losses for dealers – but the industry says long positions will make money in any scenario short of catastrophe. Mark Pengelly reports
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Filling the gaps
Filling the gaps
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
Risk interdealer rankings 2011: Dealers
Dealers enjoyed a bright start to the year but endured a slow second quarter and a savage start to the third as political wrangling over European and US debt contributed to a surge in volatility and risk aversion. For the third year in a row, Deutsche…
Mexico driving put skew in Brent, say brokers
The put skew in Brent crude oil is close to its yearly high. This is being driven by the hedging programme of Mexico, as well as more general risk aversion on macroeconomic worries, according to brokers
Quant Congress USA: BMW options "a recipe for disaster", says Dupire
Naive treatment of interaction between skew and correlation means writers of best-middle-worst options will face huge hedging losses, says top quant
Cutting edge introduction
Be discrete
Investors turn to hybrid equity strategies as volatilities descend to three-year lows
Investors turn to hybrid equity strategies as volatilities descend to three-year lows
Hedge funds play dangerous volatility game
A dangerous game
Equity derivatives
Special report
Short volatility exposures pose risks
A dangerous game
Volatility has become affordable again, says Deutsche Bank
Volatility has become affordable again, says Deutsche Bank
Trade of the month: Volatility skew
Trade of the month: Volatility skew
Risk managers search for eurozone defences
Danger zone
Credit derivatives house of the year: Credit Suisse
Risk awards 2011
Equity derivatives house of the year: Société Générale
Risk awards 2011
Correlation dislocation
Macro hedging in disrepair
Risk South Africa Rankings 2010
Neck and neck