Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice.
Capital-protected product will use averaging to calculate final returns
Abnormally low premiums cause exchange to shut down, but market participants are unclear about the reason for the error
Denver RIA became engrossed in world of derivatives following financial crisis
Energy Risk presents a classic paper on swing options pricing by Patrick Jaillet, Ehud Ronn and Stathis Tompaidis, which was first published in 1998. It introduced the so-called binomial forest method, which was influential in the development of pricing...
Results of an industry study reveal the scale of the liquidity burden that would fall on CCPs clearing physically delivered forex options – but a net settlement mechanism could reduce the number by 73%
NDOs in testing on Medusa platform as some market participants begin to consider alternatives to deliverable FX options that could be more easily cleared
Addressing the challenges of clearing deliverable foreign exchange products, Mandy Lam of the Global Financial Markets Association suggests more products could become financially settled in the future
Equity derivatives house of the year
In celebration of our 25th anniversary this year, Risk re-publishes a landmark article by Fischer Black, offering a critique of the Black-Scholes model
Indian firms move away from using forwards in a bid to grab upside benefits of future rupee appreciation
Requiem for a probabilist
Despite being exempt from clearing and exchange trading requirements in the US and Europe, some corporate treasurers fear they might have little choice but to execute forex options on electronic platforms
Volatility returned to eurodollar last week, as forex traders priced further downside risk into euro options