Arbitrage
Spread options, Farkas's lemma and linear programming
Vladimir Piterbarg derives necessary and sufficient conditions for the existence of a joint distribution consistent with given marginals and the distribution of the spread in terms of no-arbitrage conditions...
One of China's leading securities houses sees a bright future for domestic investment banks developing hedge fund-like trading businesses, once securities short-selling is further liberalised on the mainland...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Arbitrage articles
Simplistic nature of Solvency II standard formula gives regulatory arbitrage...
As the industry calls for less complexity in Solvency II, some are arguing the directive is already dangerously simplistic
Volatility interpolation
Developing an arbitrage-free, consistent volatility surface in both expiry and strike from a discrete set of option quotes is a difficult and computationally intense problem. In this article, Jesper Andreasen and Brian Huge use a non-standard variant...
EU plans to standardise sanctions welcomed, but 'impractical'
European Union opens three-month consultation on homogenising penalties across member states
Asian regulators ease cross-border depository receipt rules
Cross-border listings through fungible depository receipts is seen as one way for corporates to diversify funding sources and promote investor interest by exploiting equity arbitrage opportunities
Carbon trading to rival crude markets: CCX head
Carbon trading set to become the biggest commodity market in the world
CQS Convertible and Quantitative Strategies Feeder Fund: CQS
Best Convertible Arbitrage/Volatility Hedge Fund: Shortlisted
Individual names in top-down CDO pricing models
The Gaussian copula collapsed as a means of pricing collateralised debt obligations in the crisis of 2008, as to match prices and deltas nonsensical correlation parameters were required. By adapting the traditional framework to cater for more general...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
Related conferences
-
Risk OTC Derivatives Clearing Summit
USA, 5th Jun 2013
-
Quant Congress Europe
UK, 12th Jun 2013
-
Risk and Return Brasil - Portuguese
Brazil, 12th Jun 2013
-
Risk & Return Brazil - English
Brazil, 12th Jun 2013
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
Related training
-
Nexus-Risk Training
Canada, 21st - 16th Oct 2013
-
Gas Portfolio Optimisation
UK, 22nd - 23rd May 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Active Risk Management in the Treasury
UK, 5th - 6th Jun 2013
-
Market Data, Reference Data & Technology Training
Canada, 10th - 14th Jun 2013
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
- Lender market advisory: swap guarantees – keepwells and excluded obligations
- Global securities enforcement activity stepping up to meet new market challenges
- M&A representations and warranties insurance: what every buyer and seller needs to know
- Green REITs, MLPs and Up-Cs
- How important is collaborative technology in managing risk?
Related Jobs
