Derivatives
Rational shapes of local volatility
The asymptotic behaviour of local volatility surfaces for low and high strikes – the so-called wings – is important in option pricing and risk management. Stefano De Marco, Peter Friz and Stefan Gerhold...
Debit valuation adjustments are becoming well understood for derivatives and liabilities – but can affect the asset side of the balance sheet too. Specifically, assets such as so-called goodwill depend...
Parliament is unhappy with the treatment of corporate end-users, and could require Esma to redraft standards
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How banks needs to consider their IT infrastructure
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More Derivatives articles
Moves to liberalise domestic derivatives in China
In contrast to regulatory efforts in the US and Europe, China’s lawmakers are pushing for greater liberalisation of domestic derivatives, as Isda’s Jing Gu writes
Railroad indexing to API 2 could help US coal exporters manage risk
Link to API 2 could make exports look more attractive and reflects growing participation in coal market by US firms
Insurers look to negotiate CSAs ahead of new clearing rules
Insurers are seeking greater protection for their derivatives trades, but efforts to renegotiate credit support annexes with counterparties are proving to be protracted and insurers are looking at ways to sidestep new regulatory burdens. Blake Evans-Pritchard...
Volume 1/Number 2, Winter 2012/13
Ron Berndsen De Nederlandsche Bank and University of Tilburg In this letter in the second issue of The Journal of Financial Market Infrastructures I would like to focus on the so-called interdependencies between financial market infrastructures (FMIs)....
Estimating multiple option Greeks simultaneously using random parameter...
The derivatives of option prices with respect to underlying parameters are commonly referred to as Greeks, and they measure the sensitivities of option prices to these parameters. When the closed-form solutions for option prices do not exist and the discounted...
Volume 2/Number 1, Winter 2012/13
Arthur M. Berd BERD LLC Welcome to the winter 2012/13 issue of The Journal of Investment Strategies. This issue opens the second volume and the second year of our publication. This milestone comes at a time when we are seeing a steady increase in the...
Bucking the trend: Derivatives market liberalisation in China
In contrast to regulatory efforts in the US and Europe, China’s lawmakers are pushing for greater liberalisation of domestic derivatives, as Isda’s Jing Gu writes
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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