Publications

Volatility: The Market Price of Uncertainty

Now, Volatility: The Market Price of Uncertainty introduces the strategy of “crisis alpha,” defined as the strategic acquisition of mispriced volatility. This strategy is a powerful way to navigate future uncertainty. To understand volatility as an asset class is to value the forward expectation of uncertainty, which is as much a function of human psychology as it is an expression of mathematics. Since the financial crisis, the pricing of volatility derivatives has undergone wide-scale changes that reflect classic behavioral biases. Not only is volatility an asset class, but in fact, it may end up being the most important asset class for institutional portfolios over the next decade.