Calibrating a local volatility model to options prices is a complicated process requiring both interpolation of liquid prices and extrapolation beyond them. Recently focus has turned to efficient numerical...
Forex clearing will be restricted to non-deliverable forwards as US authorities discuss whether settlement risk can be properly managed for cleared forex options, according to speakers at the FX Week Asia...
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Options articles
Quants received a lot of flak for the crisis, but the profession is on the cusp of a golden age, according to Myron Scholes, co-inventor of the Black-Scholes pricing model. In an interview with Laurie Carver, he also criticises post-crisis regulation,...
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Declining forex implied volatility is driving increased hedging among Asian corporates. While dealers report rebounding risk appetite for options and structured products, treasurers continue to rely on forwards and futures to carry the bulk of their hedging...
A technical paper outlining a generalisation of Merton’s option formula in helping quantify systemic risk to portfolios of assets.
CPSS-Iosco guaranteed settlement requirements make foreign exchange options clearing more difficult, say participants
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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