Options
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
Transneft quits OTC market after settling $1bn swaps case
Russian market participants edgy after settlement leaves disclosure duties unclear
Equities flow market-maker of the year: Citadel Securities
Risk Awards 2018: Chicago firm makes big hires and pushes into new derivatives products
Enhancing enterprise value by trading options
This paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or…
Robust option pricing with characteristic functions and the B-spline order of density projection
This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate B-splines.
Local variance gamma revisited
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
A new nonlinear partial differential equation in finance and a method of its solution
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
Local volatility models in commodity markets and online calibration
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Bloomberg testing use of image recognition in volatility trading
Computers could be used to spot kinks in volatility surfaces
Estimating the tail shape parameter from option prices
In this paper, the author proposes a method to estimate the tail shape parameter of the risk-neutral density.
Local-stochastic volatility: models and non-models
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Russian central bank slams ruling in $1bn Sberbank swaps case
Lawyers say shock court judgement in ruble options dispute “puts hundreds of contracts at risk”
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Pricing and hedging options with rollover parameters
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
What financialisation means for oil: Ilia Bouchouev of Koch
Investor demand now drives oil prices as much as physical fundamentals
People moves: Citi axes second Asia-Pac clearing head in 18 months
Deutsche loses Asia head of global markets; StanChart hires HK chief; new Singapore head for Credit Suisse; and others
IFRS 9 expected to boost options with corporates
New rules limit options volatility in P&L; some hedgers already taking advantage, banks claim
China FX forward rules set to boost renminbi options market
PBoC extends reserve requirements on onshore forwards to foreign banks
Bond funds use derivatives to buy time for bargain hunting
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Shanghai to be first CCP to clear forex options
New service to debut in August, but liquidity risk has stalled other CCPs
‘Lottery ticket’ call options saw big losses on Brexit
Emerging market trades dropped more than 80% after 'leave' vote
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks