derivatives – Simon Taylor's Blog

16 Jun 2014

The decline in volatility: measuring risk aversion from option prices

by Simon Taylor | posted in: Course material, Economics, Finance sector | 0

Although the world appears a very turbulent place, financial volatility is currently rather low. How do we know this? One method widely used by commentators and market analysts is to refer to a measure of global risk aversion called the VIX. This post … Continued

Simon is Management Practice Professor of Finance at Cambridge Judge Business School. From 2008-2018 he was the first Director of the University of Cambridge Master of Finance (MFin) degree, and was later the first Director of the University's Global Executive MBA. An economist and former equities analyst at JPMorgan and Citigroup, he teaches on financial markets and institutions, infrastructure finance and the world financial system. He is a Fellow in Management at St Catharine's College, Cambridge, where he is a member of the investment committee, and a research associate of the Cambridge Energy Policy Research Group, where he specialises in nuclear finance.

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