Derivatives
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...
More guidance is needed from the CFTC on the definition of a swap, according to Ferc and other industry associations concerned about regulatory overlap
Basel III has incorporated credit valuation adjustment (CVA) in calculations of regulatory capital for counterparty credit risk (CCR). CVA appears via a completely new CVA capital charge and a downward...
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More Derivatives articles
Fannie Mae says FHFA's margin rules would drive up hedging costs
US mortgage giant says segregating variation margin will hurt FHFA- and FCA-regulated entities, and create new funding obligations for swap dealers
Foreign banks get temporary respite from China’s new ‘Volcker rule’...
Foreign banks in China, particularly thinly capitalised branches that are not locally incorporated in the country, greeted a decision by China’s banking regulator to postpone rules aimed at limiting non-hedging business onshore with relief this month....
ECB and World Bank call for exemptions from US derivatives rules
World Bank believes imposition of national regulations on multilateral development institutions is unprecedented intrusion on the internal operations of international organisations
Regulator strengthens enforcement authority
CFTC finalises new Dodd-Frank anti-manipulation rule but energy experts continue to question its value
Regulators may not have authority to delay Dodd-Frank, warn lawyers
Some lawyers claim the CFTC and SEC may not have power to delay enforcement of the Dodd-Frank Act – a grey area that could lead to disputes
Report recommends ways to tackle energy market manipulation
A new report has suggested a framework for identifying market manipulation, arguing further clarity will boost market liquidity
Spot USD/CNH fixing in HK poised to become derivatives benchmark
Hong Kong interbank participants have created the first US dollar to offshore renminbi price fixing giving the city first-mover advantage in becoming an offshore centre for renminbi products such as derivatives, say market participants
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