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Implied Volatility Correlations

Implied Volatility Correlations. Robert Engle, Stephen Figlewski and Amrut Nashikkar Date: May 18, 2007 Derivatives Research Conference, NYU. IMPLIED VOLATILITY. Implied volatilities from market traded options vary across strike and maturity in well studied ways.

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Chapter 27

Chapter 27. Risk Management and Hedging. Hedging Foreign Exchange Risk. US firm wants to protect against a decline in profit that would result from a decline in the pound Estimated profit loss of $200,000 if the pound declines by $.10

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344 views • 15 slides

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Hedged position - PowerPoint PPT Presentation

Implied Volatility Correlations

Chapter 27