Skew
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
Equity derivatives
Equity derivatives special report
Demand for downside puts keeps skew high
The turn of the skew
Structural changes behind rise in long-dated skew, say dealers
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
Deutsches Risk Rankings 2010: Deutsche Bank top again
Confusion, then clarity
Equity volatility backlash
Taking a long equity volatility position is a favourite macro hedge for risk managers and traders across asset classes, but the trade doesn’t always work as expected. How has the volatility experienced in May and June affected macro hedging? Joel Clark…
Volatility, correlation and skew too
Surviving skew
Goldman hit by short equity volatility position
Rumours of big losses in Goldman's equity derivatives business are borne out as second-quarter profits drop 83%.
CBOE developing tail event index
A new index based on skew will be unveiled once testing is completed
Surviving skew
Skew skyrocketed in May, breaking through levels last reached in 2008 after the bankruptcy of Lehman Brothers, while volatility and correlation also spiked. The dislocations are rumoured to have caused losses for some exotic equity books. How did dealers…
Smile dynamics IV
Lorenzo Bergomi addresses the relationship between the smile that stochastic volatility models produce and the dynamics they generate for implied volatilities. He introduces a new quantity, the skew stickiness ratio (SSR), and shows how, at order one in…
Room for skew
Skew
Smiling hybrids
Vladimir Piterbarg develops a multi-currency model with foreign exchange skew suitable for valuation and risk management of forex-linked hybrids, in particular power-reverse dual-currency (PRDC) swaps. The emphasis of the article is on model calibration…
Beyond Black-Litterman: views on non-normal markets
In normally distributed markets, the Black-Litterman technique allows managers to construct portfolios that account for their views on a set of expected returns. Attilio Meucci extends the Black-Litterman framework to generic market distributions and…
Smile dynamics II
In an article published in Risk in September 2004, Lorenzo Bergomi highlighted how traditionalstochastic volatility and jump/Lévy models impose structural constraints on the relationshipbetween the forward skew, the spot/volatility correlation and the…
Time to smile
Cutting edge: Option pricing
On the log-log linearity of the size distribution of growth stocks
Mauboussin & Schay (2000)1 discovered an almost linear relationship between the logarithm of the market capitalisation and the logarithm of the rank for growth stocks. Kou & Kou (2001)2 proposed an explanation for this observation based on the theory of…
Calibrating random volatility
Stochastic volatility
The tree of knowledge
Options
If the skew fits
Volatility