Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
Official post-mortem considers claims that options hedging amplified October 15 move
More Swaption articles
Dealers query risk management, valuation and default management
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility ...
We present two new efficient methods for the Monte Carlo computation of the (cross-) Gammas of a Bermudan swaption in the LIBOR market model. One approach is a combination of the finite difference method...
Market is split on how to report volumes for multi-legged trades
As 2012 drew to a close, UBS became the second bank to settle a Libor interest rate-rigging investigation, for a sum of roughly $1.5 billion. Royal Bank of Scotland (RBS) is expected to follow shortly,...
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.