• The Cost Model for Deriving Implied Volatility Surfaces, GMIV Ltd Research, March 2010

    Abstract: In this paper we present an innovative and straightforward model for constructing consistent and accurate implied volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks.

  • One Thing You Did Not Know About Variance Swaps, GMIV Ltd Research, April 2011

    Abstract: In this paper we elaborate on what is commonly referred to as the Skew Delta of a Variance Swap, i.e. the sensitivity of the fair strike of a variance swap relative to moves in the underlying's spot price. In particular we examine whether or not a pure variance product such as a variance swap should be hedged with an offsetting delta on the spot.

  • Equity/ZC Bond Implied Correlation, GMIV Ltd Research, July 2014

    Abstract: In this paper we present a method for deriving the implied correlation between equities and ZC bonds. We also draw perceptive insights on the implication of such correlation on derivatives prices in the market