This issue is reports on the workshop “Models and Numerics in Financial Mathematics”, which took place at the Lorentz Center in Leiden in the Netherlands on May 26–29, 2015.
This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.
Bank executes innovative deals with range of commodities, countries and projects
Bank withdrawals from commodity trading fail to dent enthusiasm
SG CIB has been involved in a raft of eye-catching energy finance deals across Asia during the past year
Surviving a second squeeze
Energy Finance House of the Year: Société Générale Corporate & Investment Banking
Sunny outlook for Brazil
Profile: Yves Smith
Daily news headlines
McKinsey report finds Basel II key for US to maintain market share
Ferc is preparing to analyse the results of its survey on energy price reporting.But the American Public Gas Association is concerned that a voluntary reportingscheme cannot guarantee reliable indexes. By Paul Lyon
The US-based Committee of Chief Risk Officers plans to propose voluntary standardsfor energy price reporting later this year, in the hope of ruling out any needfor mandatory standards. Joe Marsh reports