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  2. Best of Volatility Views: Volatility Discussion with the Godfather

Best of Volatility Views: Volatility Discussion with the Godfather

Jul 4, 2020

Happy Fourth of July! What better way to celebrate than by flashing back to 2012 for a "Best Of" episode of Volatility Views.

Volatility View 46: Volatility Discussion with the Godfather
In this episode, Mark, Bob, and Mark have the great pleasure to discuss volatility with the Godfather:  Anthony Neuberger, Professor of Finance at Warwick Business School.  The gang discusses his seminal paper, "The Log Contract and Other Power Contracts.”  They also discuss tail risk and skew risk. Mark asks Prof. Neuberger if the market is correctly pricing in tail risk.