Cms
Spread options, Farkas's lemma and linear programming
Original headline:
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...
Original headline:
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...
Original headline:
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...
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More Cms articles
Structured hybrid products prove popular in Korea
Original headline:
Complex fixed-income structures and hybrid products are finding an increasing significance among regional investors, with demand coming from private individuals, macro asset managers and sovereign wealth funds. The Asian market is estimated at $50 billion,...
Crowd busting
Published online only
The financial crisis revealed most dealers had near-identical exposures in exotic derivatives markets – whether in credit, interest rates, equity or inflation – leaving them unable to exit or hedge their positions when markets tanked. How have traders...
Fixed returns?
Published online only
Banks have reported huge profits this year in fixed income, with swaps desks benefiting from flows off the back of sovereign and corporate debt issuance. Exotic desks, in contrast, have seen a substantial decline in investor interest. Peter Madigan reports...
The rates escape
Published online only
A sudden inversion of the euro interest rate curve in June caught dealers and investors by surprise, causing losses for those that had put on curve steepener trades. Dealers rushed to hedge their short gamma positions, forcing the curve to invert further...
Vanilla's the flavour
Original headline:
Rate cuts by the US Federal Reserve have led to a sharp steepening of the yield curve, contributing to falling sales of constant maturity swap steepener products. As dealers push alternatives to fill the void, vanilla products are rising in popularity....
Smiling at convexity
Published online only
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities...
A difference of opinion
Published online only
CMS spread options have been just about everywhere this year, with investors keen to take a view on the shape of the yield curve. But a wide variation in pricing has sparked speculation that some banks may not be modelling these products accurately. ...
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