Derivatives
LCH.Clearnet splits default fund
UK-based clearer gets member approval to break up default fund - part of a package of measures responding to CFTC limits on clearing house membership criteria
Mongolia’s derivatives market is in its infancy – but the promise of future returns is luring international banks to Ulan Bator. By Viren Vaghela
Recent initiatives may encourage more players to the Brazilian commodity derivatives market, but there are still many obstacles to its growth, writes Alex Davis
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More Derivatives articles
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered...
Stochastic volatility’s orderly smiles
Lorenzo Bergomi and Julien Guyon derive an expansion of the volatility surface of general stochastic volatility models at second order in volatility of volatility that is accurate for a wide range of strikes. They characterise the shape of stochastic...
New regulations could cause $7 trillion "collateral shock"
Trio of rules - on liquidity, clearing and margin for uncleared trades - will hoover up vast amounts of collateral, market participants fear
Cross-default dilemma
The potential for a single default to trigger the termination of derivatives contracts with other entities in that group – so-called cross-default clauses – has got regulators worried. But removing these clauses voluntarily may be resisted by creditors....
Stress testing with fully flexible causal inputs
Propagating causal stress tests on selected risk factors to all the risk drivers is a challenging task. Attilio Meucci relies on entropy pooling to address this issue
BlackRock tries to renegotiate 'dirty CSAs'
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
Constant maturity asset swap convexity correction
The current high volatility in government bond markets may lead investors to try to hedge their exposure to floating-asset swap spreads. Mario Pucci obtains an analytical convexity correction for the asset swap spread that is useful for pricing constant...
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