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October 23, 2014

Valuation of VIX derivatives

October 23, 2014/ Ferry Boekholt

A study conducted by the Bank of Spain by Javier Mencía and Enrique Sentana. In it they studied the valuation of VIX between 2004 and 2007 to see the distortion in a financial crisis

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October 23, 2014/ Ferry Boekholt/
Derivatives, Show all
Sentana, VIX, Mencia, Volatilty, Derivatives
October 23, 2014

Abrupt rise of new machine technology beyond human response time

October 23, 2014/ Ferry Boekholt
Abrupt rise of new machine technology beyond human response time

This is a study on the nano second world of trading and a must read for everyone involved, especially regulators and risk managers.

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October 23, 2014/ Ferry Boekholt/
Technology, Show all
HFT, Nano, Johnson
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