Pricing models seek to be both quick and accurate, but often have to strike a balance between the two. Laurie Carver introduces this month’s technical articles, which illustrate both sides of the puzzle...
The industry has started work on a standard margin model for uncleared derivatives trades, but it faces some significant obstacles and a tough deadline. Luckily, there already seems to be some consensus...
NDOs in testing on Medusa platform as some market participants begin to consider alternatives to deliverable FX options that could be more easily cleared
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Derivatives articles
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. However, if the Brownian motions driving the forward and its volatility are uncorrelated, option...
Rule change could see growth in swaps indexed to federal funds rate
Banks are staffing up for a livelier foreign exchange forwards market, but taint of Libor rigging is limiting pool of new traders
Dealers have sold products their clients did not need, says top quant – and industry must refocus on legitimate risk transfer
Despite banks holding an overwhelming majority of the domestic bond market they are barred from participation in futures trading
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
USA, 9th Dec 2013
USA, 10th Dec 2013
UK, 18th Dec 2013
UK, 12th Feb 2014
UK, 13th Feb 2014
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