Quantization is applied to price vanilla and barrier options
Some buy-side firms avoid illiquid underlyings over manipulation risks
The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
More Barrier options articles
Basket performance is multiplied by 2.5 and returns are uncapped
US investors can choose from protected or leveraged versions
Quarterly coupon gives 10% annual return in the absence of kickout
Societe Generale sets barrier at 60% in income product for UK retail
Index-based product structured to limit upside and protect downside
Up three times
Capital-at-risk products with a 60% barrier have crept into the retail market and are becoming increasingly ubiquitous. But is the extra risk they pose appropriate for retail investors?
Coupons and capital risk
Fixed coupon for the cautious
Taking a bite of sour Apple
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.