Volatility

• Experts on volatility trading, and on volatility and variance swaps.

  • Expert in fixed income, equity, FX and commodity markets

  • Specialized in volatility term structure and term structure modeling

  • 1980s pioneer in caps, collars and swaptions

• Consultants in multiple matters relating to strategies employing the sale of volatility through options or swaps in equity markets, in fixed income, in FX and in commodities.

  • Including due diligence, oversight and execution of volatility-based strategies

• Consultants in risk management strategies employing the purchase of volatility through options, swaptions, caps and floors in fixed income markets and in options in equity markets.

  • Stress testing of out of the money equity and fixed income options for risk management

  • Managed a $1,000 billion mortgage portfolio hedged with swaptions

• Valuation of out-of-the-money FX cross-rate options

• Experts in exotic options and swaps, including:

  • Valuation of binary slope-of-the-yield-curve contracts

  • Valuation of knock-out and knock-in contracts

  • Cellphone population units embedded in contracts

  • Compensation dispute related to the profitability of a long-dated option

• Analysis of relationship between energy options implied volatility and the real economy

3D vol surface of SPX index on March 9, 2020

• Selected regulatory actions:

  • Department of Justice (DOJ) - Three Portfolio Managers And Allianz Global Investors U.S. Charged In Connection With Multi-Billion Dollar Fraud Scheme: Gregoire Tournant, Chief Investment Officer of Allianz Global Investors U.S.’s Structured Products Group, and Two Others, Charged With Fraud Offenses