Complex Strategies, Structured Products, Currency, and Crypto

Free CAIA Level II lesson in Volatility and Complex Strategies. 42 min read, ~6,372 words.

Risk means known probabilities; Knightian uncertainty means you cannot quantify outcomes or their probabilities; opacity is the lack of clarity that lets opaque-investment managers charge higher fees. The complexity risk premium has three scenarios (positive reward, hold despite a negative premium to complete the market, negative from misestimation); under Ang's...

What this lesson covers

• Content
• Example 1
• Example 2
• Common Mistakes
• Check Your Understanding
• Exam Shortcuts

Learning objectives

• measures volatility
• vega gamma theta
• vol as factor
• modeling vol processes
• implied vol structures
• option strategies vol
• delta neutral vol
• variance vol derivatives
• correlation dispersion
• vol correlation summary
• uncertainty ambiguity opacity
• asset strategy complexity
• complexity perverse incentives
• structured products wrappers
• exotic option features
• eusipa classification
• global structured cases
• structured product valuation
• currency hedging re
• currency risk perfect markets
• currency risk alts
• futures quanto
• intl re overview
• intl re challenges
• crypto investment styles
• crypto fund strategies
• crypto trading strategies

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