RMB vol returns as hedge funds take barrier trade profits
Unwinds of exotic positions saw vol jump 72% after surprise PBoC move last week
Source: risk.net
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'Perfect' VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Source: risk.net
Yen exotics re-hedging fuelled vol surge, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
Source: risk.net
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Source: risk.net
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
Source: risk.net
Podcast: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
Source: risk.net
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Vladimir Piterbarg Alexandre Antonov Michael Konikov International Swaps Derivatives Association Natwest Markets
Source: risk.net