Options
Filling the gaps
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...
The recent collapse in the value of dividends is a reminder of painful 2008 losses for dealers – but the industry says long positions will make money in any scenario short of catastrophe. Mark Pengelly...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
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
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation...
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,...
RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Mexico driving put skew in Brent, say brokers
The put skew in Brent crude oil is close to its yearly high. This is being driven by the hedging programme of Mexico, as well as more general risk aversion on macroeconomic worries, according to brokers
Corporate FX hedging surges in Asia
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...
Marking systemic portfolio risk with the Merton model
A technical paper outlining a generalisation of Merton’s option formula in helping quantify systemic risk to portfolios of assets.
Forex options clearing complicated by guaranteed settlement requirements...
CPSS-Iosco guaranteed settlement requirements make foreign exchange options clearing more difficult, say participants
CBOE relaunches credit event binary options
After a false start in 2007, when the Chicago Board Options Exchange previously unveiled credit event binary options, the product is back – with a few crucial tweaks
How can investment banks use grid technology?
Learn how technology is enhancing risk management
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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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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