Dealers tackle uncertainty over basis risk
More Exotic options articles
Volume 17, Issue 4 (2014)
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per H...
Trading volumes of exotic and vanilla equity options remained highly correlated related in 2009, according to derivatives pricing provider SuperDerivatives. Throughout the first half of last year, the...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.