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,...
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
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More Option articles
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
In this paper, Christian-Oliver Ewald, Roy Nawar and Tak Kuen Siu study the performance of locally risk-minimising hedging strategies in the context of futures and options written on crude oil. In contradiction to prior research, the authors show it is...
Société Générale In a year when most banks shied away from trumpeting innovation, Société Générale (SG) continued its crusade to further tweak the financial technology that forms the basis of the structured products market. The result was an...
Indian firms move away from using forwards in a bid to grab upside benefits of future rupee appreciation
The already challenging task of calibrating stochastic volatility models becomes even more complex when rates are random too. But an efficient Monte Carlo approach can be found – by using an esoteric, but neglected, stochastic calculus. Laurie Carver...
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
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014