PinnedHarel JacobsonTurbocharging Derivatives — Variance, Convexity, and Everything in BetweenA deep dive down the foundations of variance, volatility, convexity, and additivity to understand how derivatives offer a hefty leverage13 min read·Oct 27, 2021--6--6
Harel JacobsonA Tidal Wave — Beginners Guide to FX Volatility Cycles IVery much like ebb and tide financial market volatility oscillates between regimes of highs and lows.11 min read·Mar 24, 2024--1--1
Harel Jacobson(Almost) Everything You Wanted To Know About FX Volatility Smile (Part III) — Options Flows…The last part of our FX volatility trilogy is going to address the issue of gauging dealers’ positioning and its effect on the vol dynamic12 min read·Oct 7, 2022--2--2
Harel Jacobson(Almost) Everything You Wanted To Know About FX Volatility Smile (Part II) —Exotic options, Vol…We continue our journey into the FX derivatives… Part II is all about diving deep into exotic options, volatility smile, and dynamic10 min read·Oct 4, 2022--1--1
Harel Jacobson(Almost) Everything You Wanted To Know About FX Volatility Smile (Part I) — Intro to the FX MarketIn this trilogy we will dip our toes into the ocean that is the FX derivatives space and the volatility surface dynamic.11 min read·Sep 29, 2022--3--3
Harel JacobsonBack By Popular Demand — The Rise and Fall (and Rise Again) of the Uridashi Bonds“Our greatest glory is not in never falling, but in rising every time we fall” — Confucius11 min read·Jun 11, 2022----
Harel JacobsonThink Like a Market Maker — Understanding Implied VolatilityAny option trader who focuses on volatility trading will tell you that the price of volatility is the single-most-important factor in…14 min read·Mar 5, 2022--2--2
Harel JacobsonTrading Volatility Roughness — Rethinking Statistical ArbitrageMarket neutral strategies account for a significant part of quant-based strategies. Just think about your typical equity long-short/pair…10 min read·Oct 15, 2021--2--2
Harel JacobsonVolatility Smile and Delta Hedging (Part 2) — Down the rabbit hole of Smile Risk Hedging.So we continue our journey down the rabbit hole of volatility surface and vega risk exactly where we left off last time (if you want to…12 min read·Aug 17, 2021--1--1
