Links between central counterparties (CCPs) enable participants to clear positions in any linked CCP without needing to maintain multiple CCP memberships.
Predicting equity and futures tick by tick price movements
A treasury viewpoint on the funding optimization problem
A new approach to incorporating loss given default into models
Energy Risk presents a classic paper on swing options pricing by Patrick Jaillet, Ehud Ronn and Stathis Tompaidis, which was first published in 1998. It introduced the so-called binomial forest method, which was influential in the development of pricing...
Stochastic modelling of reinsurance credit risk
Options for collateral options
The simple link from default to LGD