Libor
Jerry del Missier resigns in wake of Libor scandal
Barclays COO and long-time derivatives industry figure steps down hours after resignation of chief executive Bob Diamond
We discuss the issues involved in an efficient computation of the price and sensitivities of Bermudan exotic interest rate derivatives in the cross-currency displaced diffusion LIBOR market model. Improvements...
The LIBOR market model is very popular for pricing interest rate derivatives but is known to have several pitfalls. In addition, if the model is driven by a jump process, then the complexity of the drift...
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Libor manipulation lawsuits could cost banks ‘tens of billions’
Barclays' $450m settlement gives lawyers smoking gun evidence of attempts to tamper with benchmark rates
CFTC’s Chilton: Libor manipulation attempts ‘serious and significant’...
CFTC orders Barclays to pay a $200 million penalty. Commissioner Bart Chilton says agency is "vigorously looking at individuals"
JVB shows its rates traits
JVB Financial has scoured the interest rates market for its underlying of choice, placing its bets on a seemingly inevitable rise in these levels. Hannah Collins talks to John Tessar, head of structured products at the Florida-based distributor about...
CMS: covering all bases
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
Full implications for CMS convexity
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
BlackRock tries to renegotiate 'dirty CSAs'
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
Inflation derivatives house of the year: Royal Bank of Scotland
The inflation derivatives market is characterised by long-dated trades, big notional sizes, a lack of liquidity and – where corporate clients are involved – a lack of collateral. In other words, it is exactly the kind of business that will be punished...
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