This issue of The Journal of Computational Finance focuses on different aspects of calibration and optimization. Two papers even have the word "calibration" in their titles...
Despite the twists and turns of history, some things remain the same – an important lesson that can be found in the work of Émile Zola. His novel L’Argent shows how an erosion of moral standards can...
More Options articles
Volatility is trading at record lows globally and especially in Asia. Why is it so low and does it represent an opportunity for volatility funds to buy at discounted levels or is something more sinister at play?
Options prices are driven by supply and demand in the market while simultaneously being bound by no-arbitrage restrictions. This makes it difficult to create models for their prediction. Petros Dellaportas and Aleksandar Mijatović use a simple time series...
Utilities, oil producers and trading firms are urging the CFTC to issue clarification on contracts with embedded volumetric optionality
Differences in the cost of yen and dollar funding are significantly impacting the price of Japan equity options at the long end of the curve and driving dealers on to the listed market
A trading error by HanMag Securities last December saw all members of KRX's listed derivatives platform lose a portion of their default fund contributions – but the exchange itself paid nothing
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.
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014
USA, 20th - 21st Aug 2014