Derivatives
Perturbed Gaussian copula: introducing the skew effect in co-dependence...
Original headline:
Gaussian copula models are often used in the industry when single-asset information is quoted but little is known about their joint relation. These models may arise from correlated stochastic Brownian...
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Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their...
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Derivatives pricing, collateral and Basel 2.5 and Basel III are the most read stories of 2011
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New Zealand: a step in the right direction
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A new draft version of New Zealand’s Financial Markets Conduct Bill was published for consultation in August. The bill provides greater clarity than the previous draft and removes uncertainty – but some further tweaks are needed, says Cindy Leiw of...
Funding cost adjustments for derivatives
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A paper discussing the relationship of the funding cost adjustment to the balance sheet and demonstrating two ways in which the funding cost adjustment can be eliminated
CFTC’s Chilton: lessons learnt from MF Global
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MF Global “new poster child for the need for thoughtful regulation" that must be "proactive, nimble, quick", says CFTC’s Chilton
Quant Congress Europe: Peter Carr introduces ‘meta-modelling’
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Morgan Stanley quant tells Risk's annual European quantitative finance event that modelling assumptions should be considered in light of calibration needs - even if this leads to discrepancies
Cutting Edge introduction: the DVA debate
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Banks profiting from a widening of their own credit spreads is causing more scrutiny of the debit value adjustment, with some viewing it as an accounting trick and others arguing it is a fact of life, however counter-intuitive it might seem. Laurie Carver...
SEC appoints two trading and markets associate directors
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The US Securities and Exchange Commission has named heads of regulation for derivatives policy, and clearance and settlement
In the balance
Original headline:
Funding costs and counterparty credit risk adjustments have become increasingly important contributions to the total value of derivatives positions. Based on a recently developed derivatives valuation framework that incorporates these two effects in a...
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