This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Out-of-the-money options contain a hidden premium, says one quant
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
OCC fears approval will be held up by absence of SEC clearing rules
Residual risk add-on more broadly applicable than first thought under Basel rules
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering techniques...
Veolia caps CVA and FVA unwind costs in trades with 10 banks
The papers published in this special issue investigate a variety of theoretical and empirical issues regarding risk sharing in Islamic finance.
SMEs have returned to option strategies since the financial crisis but in a more nuanced way
Quant Congress USA: Quant departments have become “sterile” and “dumbed-down”
Agency chief sidesteps question over whether Gensler rushed rules
It was “absolutely certain” that SNB would end Swiss franc floor, says vice-chair
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Options now account for 60% of total open interest on SGX's iron ore derivatives
Potential US rate rise puts rupee depreciation back on the table
Onshore corporates yet to take advantage of increased hedging options
Start-ups struggling to establish multiple PB relationships
Rise in single stock uridashi issuance drives trade
Energy firms need clarity on 'seventh prong', commissioner says
Agency said to be exploring solution for embedded volumetric options
China exchange developing technique to reduce margin requirements
Carney’s words echo work of Émile Zola on the value of social capital