This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Investor demand now drives oil prices as much as physical fundamentals
Deutsche loses Asia head of global markets; StanChart hires HK chief; new Singapore head for Credit Suisse; and others
New rules limit options volatility in P&L; some hedgers already taking advantage, banks claim
PBoC extends reserve requirements on onshore forwards to foreign banks
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
New service to debut in August, but liquidity risk has stalled other CCPs
Emerging market trades dropped more than 80% after 'leave' vote
Last-gasp hedges may have eased the pain of Brexit for some banks
Market-making desks struggling to recycle some client flows ahead of referendum
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
GZC’s Elbhar rode oil spread trade to 40% annual return in 2015
"The rules are based on assumptions that are incorrect," says Isda
Oversight from clearing members is good for central counterparties, says LME Clear CEO
Liquidity options for tackling Basel-mandated LCR come of age
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Out-of-the-money options contain a hidden premium, says one quant
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
OCC fears approval will be held up by absence of SEC clearing rules
Residual risk add-on more broadly applicable than first thought under Basel rules
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Veolia caps CVA and FVA unwind costs in trades with 10 banks
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment