Banks warn vague rules "like the Rorschach test" and need clarification
More Derivatives pricing articles
This paper presents a new numerical approach to solving high-dimensional partial differential equations that arise in the valuation of exotic derivative securities. The resulting numerical solutions...
Quants argue banks are inflating FVA; Crédit Agricole among those weighing new approach
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Wujiang Lou shows the impact of funding costs on option valuation
Higher discount rate can cut payouts to in-the-money clients by millions
XVA specialists spark debate on regulation and risk-neutrality
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.