Risk Awards 2015: UK clearer could unlock leverage ratio
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Organisations that remain active in markets such as agricultural trading have been forced to rethink risk management and trading, reformulating strategies to tackle this brand new financial world
Sponsored feature: CME Group
Oxford professor David Vines argues that the carrot is as important as the stick
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In this paper, we clarify the relationships among popular methods for pricing European options based on the Fourier expansion of the payoff function (iFT method) and the simlified trapezoid rule.We suggest...
We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy processes)....
Observing prices of European put and call options, we calibrate exponential Lévy models nonparametrically. We discuss the efficient implementation of the spectral estimation procedures for Lévy models...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.