Interest rate options
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry’s...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Interest rate options articles
The classic approach to the benchmark interest rate options model leads to nonsensical negative probabilities at low strikes – but a new approach promises to fix the puzzle, and allow the pricing of negative-strike options. Laurie Carver introduces...
Central banks are holding down interest rates in an attempt to spur growth, and some parts of the fixed-income markets have entered the weird terrain of negative rates. This is sparking a modelling arms race among dealers, as they seek to build or overhaul...
The sensitivity of single-rate derivatives to implied volatility is traditionally only considered with respect to the underlying fixing, in effect collapsing the term structure to a point. But a full set of implied volatilities can be found using a new...
Regional markets are changing faster than ever, and investors outside the region are looking to repatriate funds amid growing inflation concerns and profit taking. Société Générale explains why it is dedicated to thought leadership through research...
Fei Zhou presents a simple stochastic volatility extension of the Black interest rate option pricing model widely used by traders. Using a perturbative expansion in volatility of volatility, he derives modified Black formulas that correctly fit the observed...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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