Last gasp hedges may have eased the pain of Brexit for some banks
Market-making desks struggling to recycle some client flows ahead of referendum
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
GZC’s Elbhar rode oil spread trade to 40% annual return in 2015
"The rules are based on assumptions that are incorrect," says Isda
Oversight from clearing members is good for central counterparties, says LME Clear CEO
Liquidity options for tackling Basel-mandated LCR come of age
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