Challenges continuously arise regarding energy and commodities OTC clearing, and changes in regulations. This roundtable offers the knowledge, experience and opinions of our elite speakers on some of the key issues the industry currently faces including:
In association with CME Group, KPMG and SuperDerivatives
The industry expert speakers are:
More on Risk Management
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...
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