We develop efficient fast Fourier transform algorithms for pricing and hedging discretely sampled variance products and volatility derivatives under additive processes (time-inhomogeneous Lévy processes)....
Corporates were under-hedged due to high cost of carry versus dollar
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
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Systematic indexes become expensive "just when you need them", portfolio manager
Falling iron ore prices are ramping up market liquidity to the extent that hedge funds are entering the market as a China proxy
Australian dollar, renminbi and CE3 currencies touted as alternative macro hedges for European debt woes
A shrinking pool
Finding the best approach
Resignation letter links derivatives trade to moral collapse at bank
Taking on the tail
Tumultuous foreign exchange market in September has left some hedging strategies in disarray and led to more timely exposure monitoring in one treasury department, say corporate treasurers speaking ...
Swiss Re: pharmaceutical and care-home sectors could provide capacity for longevity swaps
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.