Technical papers/Equity Derivatives
Prediction of arbitrage-free option prices that outperform existing models
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Technical papers/Equity Derivatives articles
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per H...
Pierre Henry-Labordère introduces a new technique for calibrating local volatility extensions of arbitrary multi-factor stochastic volatility models to market smiles. Although approximate, this tec...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.