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Vivek Viswanathan - Quant Equity in China (S4E10)

Flirting with Models

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How Do You Manage the Right Tail of the Market?

Harley basman: Most times you will see out of the money calls in the equity market ing well below realized volatility. Why do you find upside convexity so appealing? It is the case that markets tend to rise slowly, so the escalator up, and they fall quickly, elevator down. And thus you see skews in the market where the puts valls higher than the call val.

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