Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Bonnefous defends investment in commodities amid market turbulence
Official post-mortem considers claims that options hedging amplified October 15 move
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Market participants "must ensure they are capable of bearing losses", says SNB vice-chair
Buffett's warning on perils of volatility is well justified, argues Kaminski
ABSTRACT This paper proposes a price model for financial assets using the supply demand relationship, referred to as a supply-and-demand based price (SDP) model. The model demonstrates that stock price...
Prudential rules sought to bring about new market structure, says ex-BoE deputy governor
Two ubiquitous risk analytics are easily and often misunderstood
2014 saw rising activity in Europe's exchange-traded and OTC gas markets
We discuss the relative performances of value-at-risk (VaR) models using generalized autoregressive conditional heteroscedasticity (GARCH), Glosten-Jagannathan-Runkle GARCH and integrated GARCH (IGARCH)...
Tracking performance of ETFs is examined, with a focus on volatility decay
Volatility seen as positive for financial traders, including banks
Spread option pricing: importance of forex risk factors illustrated
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