Typical implementations of the stochastic alpha beta rho model involve asymptotic expansion approximations, which can generate inaccurate prices for long-dated options. But directly solving a pricing partial...
More Derivatives articles
Welcome to the first issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers, covering investment performance analysis, alternative investment strategy design, optimization of derivatives strategies,...
Innovative weather risk transfer deal exposes limitations of ILS
At Nigeria's third Capital Market Committee retreat, Kyari Bukar, the head of the country's central securities depository, reports on progress liberalising the market - and dealing with unclaimed dividends
The economic value of derivatives is influenced by funding costs, because the costs imply windfalls or shortfalls to bondholders on a bank’s default. But the resulting adjustments depend not just on the funding spread but on the funding strategy deployed....
Basis risk continues to worry pension funds, consultants say, despite the latest attempt by Deutsche Bank to create a flexible index-based longevity hedge
Insurance Risk’s second collateral management survey in conjunction with BNY Mellon finds more insurers are taking steps to prepare for new derivatives regulation, but concerns about collateral availability are mounting
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014
USA, 20th - 21st Aug 2014