Technical papers/Foreign Exchange
Effective valuation procedures for callable exotics are a thorny problem. Standard methods reveal limitations in pricing many-dimensional and path-dependent products, such as cancellable snowballs. Christian...
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More Technical papers/Foreign Exchange articles
In this article Andrew Klingler takes a closer look at the residual risk when a load-serving contract is hedged with forwards. The residual risk components are described quantitatively and a formula for the minimum variance hedge is outlined
Bank of Ireland's Isle of Man operation has recently celebrated its 25th anniversary on the island with the launch of the sterling-denominated Silver Anniversary Bond. The product was also made available via the Isle of Man local post offices as the Global...
Il mercato dei derivati creditizi sta crescendo a ritmo molto sostenuto e il Credit Default Swap (CDS) ne e divenuto lo strumento piu diffuso. Il presente articolo e particolarmente rilevante per il trading di CDS e di portafogli obbligazionari. Mascia...
In certain settings it's reasonable to assume that the current futures price embodies the market expectations of the spot price. However, as Gary Dorris, Sean Burrows and Vena Kostroun explain, there are distinct situations when this assumption does not...
Despite the utility of forward price models in the risk management framework, models of spot prices are used more prevalently. Ted Kury presents a tractable model with time-varying volatility, that allows for temporal changes
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.
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