18.12.2014
Some you win, some you lose: a short summary of our year.
PS 3.1 coming out now with important new feature added to the VolManager Read more...
17.12.2014
Short blog out on structural changes in volsurfaces
17.12.2014
A quick approximate update of the "Resource" pages.
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December 2014

In the big scheme of things...

Posted by Alberto Cherubini - 17 Dec 2014
... this might matter less than oil price, no doubt. And yes, it's obscure... but a remarkable structural change is happening in vol-surfaces: the time-honoured "square root of T" rule of thumb for skew is another casualty of the "new normal". There are practical consequences, e.g. on structured products.
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