Dealers using Emir review to request carve-out for optimisation trades
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
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Options-based instruments can halve initial margin for some non-cleared products, say dealers
Four EU, one Japanese and one Australian bank to start posting initial margin on non-cleared trades from September
NY-based start-up LMRKTS gets backing to support illiquid markets
In this paper, the authors give complete algorithms and source code for constructing statistical risk models.
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
Surging availability of data lets firms with best market insight gain an edge
Developer gained clients despite cutbacks in IT spending by energy firms
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
This paper proposes a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices.
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
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Making the right decisions requires an enterprise-wide view of risk, authors argue
Asset-based trading seen as crucial in environment of lower oil prices
Liquidity plays a vastly underappreciated role in commodity markets
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing…
EEG direct marketing push seen as good for power market
Balancing the price uncertainty and price impact of large orders is an important issue for many market participants. While classical approaches lead to trading algorithms that are invariably price-path insensitive, in this article, Sebastian Jaimungal…