The Gateway to Algorithmic and Automated Trading

Secrets of a smile

Published in Automated Trader Magazine Issue 19 Q4 2010

It’s hard to interpret a smile, whether you’re looking at a human face or a set of equity returns. Here, we present an exclusive summary of a recent report1 from Societe Generale that lifts the veil on the causes, behaviour, and consequences of a smile – skew - in the derivatives world.

It's hard to interpret a smile, whether you're looking at a human face or a set of equity returns. With that in mind, a key question in the equity markets is whether skew is correctly priced or not. Get it right, and your strategy is set fair. Get it wrong, and somebody else is going to take the gain. With that in mind, we present an exclusive summary of a recent report from Societe Generale that lifts the veil on the causes, behaviour, and consequences of a smile - skew - in the derivatives world.

The remainder of this article is only available to Paid Subscribers

Click here to purchase a subscription to Automated Trader

  • Copyright © Automated Trader Ltd 2018 - Strategies | Compliance | Technology

click here to return to the top of the page
content