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 ...

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 ...

Equity market volatility in advanced economies shot through the roof when the credit and liquidity crisis kicked in last year and has been high ever since. It might have been expected then that the ...

Shares Interest Rate Hedged Corporate Bond ETF combines LQD exposure with swaps, resulting in near-zero duration. Learn more ...

Korea has agreed to provide the United States with detailed monthly data on its foreign exchange transactions and restrict ...

Volatility for yen interest rates has climbed above that of euro ones for the first time in seven years amid growing uncertainty over the outlook for Bank of Japan monetary policy.

The -1x Short VIX Futures ETF offers inverse exposure to short-term implied equity volatility, indirectly targeting the ...