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
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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 ...
SMEs have returned to option strategies since the financial crisis but in a more nuanced way
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
Potential US rate rise puts rupee depreciation back on the table
Onshore corporates yet to take advantage of increased hedging options
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
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.