Market-making desks struggling to recycle some client flows ahead of referendum
Non-cleared notional falls $36 trillion as costs and complexity grow
Lack of long-term reference points could hold back proposed market
Numerix quant revolutionises negative rates modelling
Negative rates causing pricing model rethink
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
This issue of The Journal of Computational Finance has numerical partial differential equation discretization techniques as its central theme.
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. This paper proposes a much faster and more accurate valuation method based on partial integrodifferential equations.
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 traditional hedge for this risk now too pricey,...
SABR spreads its wings
Swaptions said to have passed CME’s risk committee, and may now be included in CME Clearing Europe’s application to Esma for reauthorisation
To Euribor and back
Looking both ways
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...