May’s unexpected increase in equity market volatility, which led to big mark-to-market losses for some hedge funds, has not dented the variance swaps market, according to dealers. No volume figures on ...

The researchers note that the Black-Scholes model was developed in the 1970s to price simple call and put options, and a key point of the model was that market makers could delta hedge – cancel out ...

New exchange-traded solution designed to hedge against and capitalize on U.S. equity market volatility moves Product debuts at a critical time as market participants navigate uncertain macro ...

The definition of risk can take various forms. One of the most used is the standard deviation or portfolio volatility. The evolution of the conditional variance may be parameterized by many different ...

Many finance teams treat variance analysis as a box-checking exercise: Set a threshold, flag the swing, move on. That’s why so many controllers spend days chasing noise while risks slip through. It’s ...

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional ...

Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

Learn how Value at Risk (VaR) predicts possible investment losses and explore three key methods for calculating VaR: ...

If a baseball season happens this year in America, it’s clear that it will be a short one. The shorter the season, the wider the array of possible outcomes — between May 17th and June 16th in 2001, ...

Cboe Global Markets announced that its new Cboe S&P 500 Variance Futures are expected to begin trading on Monday 23 September on the Cboe Futures Exchange. The new futures aim to provide market ...