36 South contribution to “Tail Risk Hedging: Theory and Practice”

Anthony Limbrick and Siva Naguleswaran of the 36 South Quantitative Research team have contributed a book chapter titled “Benchmarking Convexity: Towards a Holistic Approach” to the Risk Books publication, “Tail Risk Hedging: Theory and Practice”. The chapter addresses the lack of consensus on benchmarking convexity strategies, and provides the basics of a workable benchmarking framework, for those strategies that aim to harness both changes in implied volatility, and large directional moves.  We believe the chapter represents a substantial evolution of the thinking around volatility, tail risk and trend-following strategies.

2014
http://riskbooks.com/book-tail-risk-hedging