Liquidity plays a vastly underappreciated role in commodity markets
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based crit...
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
More Optimisation articles
Volume 17, Issue 4 (2014)
A shake up at the top is marking a new direction for the company
We consider the Delta-hedging strategy for a vanilla option under discrete hedging and transaction costs. Assuming that the option is Delta-hedged using the Black-Scholes-Merton model with an implied lognormal...
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
End-users’ energy and commodities hedging strategies are growing in sophistication as they adopt more complex products and non-traditional tools, says the head of RWE npower’s optimisation desk
Bernard Madoff was sentenced to 150 years in prison in the Manhattan federal court yesterday.
European investment funds are preparing to face tighter regulation in the wake of the Madoff scandal.
Daily news headlines
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.