Bank technology needs continue to evolve
Volatility returns in 2015 making forex and commodity markets tricky
Marzio Sala and Vincent Thiery show the derivation of the continuous adjoint problem for PDEs
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 Derivatives articles
Data has been a problem for the past two decades for firms in the region
Costly fines deter firms from employing cross-market strategies
Dodd-Frank rules must balance stability and market liquidity, says global head of risk
Banks warn prices to rise under new regime
Requirements for non-cleared swaps delayed until September 2016 but firms in Asia may still not be ready
German firm aiming to support regional clearing market with one central offering
Industry groups push “sensibly higher” thresholds to escape grip of Mifid rules
Gross notional exposure to interest rate and forex derivatives on the rise
Products include the "world's first" bitcoin volatility futures contract
A new decree sets out legal framework for establishing futures market
China onshore forex derivatives market a fraction the size of its EM peers
Ring-fenced research pots required to cut out inducements
But reported problems include disclosure of state secrets stopping US trading
ABSTRACT In energy markets, the use of quanto options has increased significantly in recent years. The payoff from such options are typically written on an underlying energy index and a measure of temperature....
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.