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Practical insight into black basket analytics for mid-curves and spread-options and trading crypto asset volatility

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Black basket analytics for mid-curves and spread-options

To price mid-curve or spread options we need flexible joint distributions of two underlying rates with fixed marginals: a Copula approach is a standard method to produce such joint distributions.

One of several drawbacks is a low number of free parameters e.g. the most popular Gaussian copula has one parameter – correlation.

Another is its numerical realisation: a 2D numerical integration underlying the price can be slow and potentially noisy, eps. for sensitivities.

This session with Alexandre Antonov, Chief Analyst, Danske Bank, will propose a new way to unify two marginal distributions such that it has a large number of parameters permitting to calibrate to mid-curve or spread options with multiple strikes. The method is based on a “black basket” of log-normal processes having a fast analytical formulation and attractive simplicity.

Trading and hedging bitcoin and crypto asset volatility

In this presentation, Carol Alexander, Professor Finance, Sussex University, shares her recent research and experiences with:

  • Options and other bitcoin volatility products
  • Bitcoin implied volatility index
  • Variance swaps and the bitcoin variance risk premium
  • Optimal dynamic delta hedging
  • Net buying pressure
  • Information in bitcoin option trades

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