Our Volatility team has a particularly strong focus on identifying structurally mispriced optionality and designing unique and liquid ways to exploit such anomalies. The team has also developed proprietary swap and volatility analytics to assist in trade identification and hedging. These capabilities have helped establish AVM as a respected partner for integrated rates portfolio management projects.

One team member, Deep Kumar, developed the SABR options pricing model and coauthored the original paper. Widely used to capture the volatility smile in derivatives markets, SABR currently enjoys a status similar to the Black-Scholes formula in the “pre-smile” days.

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Clifford G. Viner
Principal, Co-founder

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Deep Kumar

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Carlos Sin
Volatility Trader

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Tom Jacobs

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