What is your opinion about volatility as a measure of risk? What are some of the measures that one can take to mitigate the risk of loss when trading highly leveraged positions? For trading in financial markets, what are the pros and cons of diversificatio...
Active tail hedging is more effective when employees confront several panic-driven periods characterized by short and sharp market swings in the equity markets over the investment horizon. Passive hedging, on the other hand, proves beneficial when they encounter an extremely rare event like the Great...
aoptimal hedging 优选的树篱[translate] a你会看到我手上拿着一个有一个符号 You can see in my hand takes one to have a mark[translate] aPerhaps we should not only put eyes on the reasons behind, but should find a solution, try to avoid the tragedy again. The school bus safety I have...
Since 0DTE options are traded at such a high frequency, their delta hedging behavior becomes much less predictable. Therefore, the gamma on 0DTE options is less meaningful than gamma on longer dated options. Instead, the JPM strategist looks at the market impact of delta: he partitioned market...
How does hedging reduce risk (going long one market and short another at the same time)? What if both positions go against you?Investment:Investment is the allocation of the fund in financial market instruments or assets which will generate ...
aby cross inspecting across the Panel F in Table 1 and panel E in Table 2, readers may find the results are similar to previous heavy-tailed cases: the problem with the SRTR in jump models is not due to their variance scaling butto their changing tail behavior. It is intuitive that a ...
What does the volatility risk premium say about liquidity provision and demand for hedging tail risk? Unpublished working paper. Princeton University.Fan, Jianqing, Michael B Imerman, and Wei Dai, 2016, What does the volatility risk premium say about liquidity provision and demand for hedging tail...
We find compelling evidence that the magnitude of the deviation of the realized volatility from implied volatility represents supply and demand imbalances in the market for hedging tail risk. It is difficult to conclusively accept the hypothesis that the direction or sign of the volatility risk ...
And the big falloff is not in seed rounds, which are still getting done, but in follow-on rounds, which are not. So what has changed in the past couple years? A lot, actually. 1) the consumer web has matured. we are almost 20 years into the consumer web and we have large ...
[[1] I’m hedging a little because sometimes reality’s complications make the math harder but the ultimate solution easier. E.g. friction makes movement harder to predict but gives you terminal velocity.] I had a great conversation with trebuchet and math enthusiast Hastings Greer about how ...