September 2015

Break-even Volatility skew In a future article we will introduce a methodology to compute the rolling average correlation smile of an index for a given tenor (say, 3-Month, 1-Year). To do so,…
Read more...Break-even Volatility skew In a future article we will introduce a methodology to compute the rolling average correlation smile of an index for a given tenor (say, 3-Month, 1-Year). To do so,…
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