Posts tagged 'black scholes'

Black Scholes and the formula of doom

Lisa joined FT Alphaville in September 2011 after a tour of duty through the guts of the financial industry, having worked as an analyst at a bank and for a financial data company. She's now the Head of New Projects for FT.com.

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| Apr 30 2012 11:01 | Comment |

It has been argued that one formula known as Black-Scholes, along with its descendants, helped to blow up the financial world.

Well, that got FT Alphaville’s attention this weekend! For a good part of Saturday, the article with the above sentence was among the Most Read on the BBC News website. Not bad for an article about option pricing. Read more

Wall Street’s next top model

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Aug 02 2011 15:04 | Comment |

No it’s not Tyra Banks. Sorry.

According to a technical paper published on Risk.net by Alex Langnau, global head of analytics at Allianz Investment Management and Daniel Cangemi, head of FICC trading at EFG Financial Products, Wall Street’s next top (risk) model is actually a copula that attempts to explicitly link correlation skew to systemic risk so as to improve tail risk management of large portfolios. Read more

Vix parity, volatility arbitrage and Japan

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Mar 29 2011 16:44 | Comment |

Olivier Jakob of Petromatrix is a rare breed of energy market analyst. He believes it’s important to look beyond the immediate scope of the energy complex to really understand what’s going on.

As a result his energy market reports are often filled with valuable little gems of insight. Read more

Volatility as the new Black-Scholes

Tracy Alloway used to be deputy editor of FT Alphaville. Here she learned the details of derivatives, the absurdities of accounting and the various structures of ... erm ... structured finance. She now covers big US banks for the FT paper, including Goldman Sachs and Morgan Stanley. She pops up on FT Alphaville every once in a while.

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| Mar 01 2011 13:09 | Comment |

Here’s a timely discussion following the Vix smashing through the 20 level.

It comes via Euromoney columnist, Theo Casey, and it concerns a 2010 paper by Eckhard Platen, professor of quant finance at the University of Technology, Sydney. Read more

High frequency traders do ‘risk’ better

Izabella Kaminska joined FT Alphaville in October 2008. Before that she worked as a producer at CNBC, a natural gas reporter at Platts and an associate editor of BP's internal magazine.

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| Sep 08 2010 09:15 | Comment |

Perhaps it’s not too astounding a finding…

But a Federal Reserve staff working paper by Dobrislav P. Dobrev and Pawel J. Szerszen has found that using historical high frequency data to forecast equity returns is far more effective than using general daily or monthly data. Read more