Cliquet options
FX options traders rethink vol drivers amid macro uncertainty
Market-makers believe more and more events will influence options pricing as political risk bubbles up during 2024
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
Credit Suisse bets on intraday vol signals to revive FIA sales
New line of fixed indexed annuities will use intraday data for more precise vol targeting
The forward smile in local–stochastic volatility models
The Authors introduce a closed-form approximation for the forward implied volatilities.
FCA verdict on Credit Suisse cliquet revives backtesting debate
Credit Suisse and Yorkshire fined for serious breach of duty
Trade of the month: Dual directional products
Trade of the month: Dual directional products
Cutting Edge introduction: Tales of tails
Tales of tails
Trade of the month: Cliquets in the US CD market
Trade of the month: Cliquets in the US CD market
Union Bank issues five-year cliquet linked to Russell 2000
Protection in a CD wrapper
Smile dynamics
Traditionally, smile models have been assessed according to how well they fit market option prices across strikes and maturities. However, the pricing of most recent exotic structures, such as reverse cliquets or Napoleons, is more dependent on the…
Capturing the smile
Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. Simon Johnson and Han Lee present a variant of this approach that can be used…