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