Sponsored Q&A: CompatibL, Murex and Numerix
Demand for technical skills is growing, but roles have changed – and some schools are not keeping up
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Continued political wrangling over Europe’s CVA exemption increases uncertainty for dealers
Three firms have signed up to use the tool, which calculates MVA across 100,000 scenarios
Forecast suggests drop in crude volatility in months ahead
China's first oil future is still on the cards, but its viability as a new benchmark is far from certain
Introduction of Troll marks attempt to keep Brent as benchmark of choice
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.