Nazneen Sherif
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Articles by Nazneen Sherif
How replication simplifies pricing of vol exotics
Barclays quants replicate knock-out corridor swaps using barrier options in bid to make pricing easier
Search for term Libor replacement faces twin obstacles
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
New NMRF rules will push more desks to standardised approach
Restrictions on use of proxy data will bar banks from using internal models, conference hears
Fischer Black was right. Somewhat
CFM quants show timing and extent of mean reversion using a highly data-intensive study
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Banks to ask EC for delay of benchmarks rule
New ECB rate may appear only months before rules bar use of Eonia and Euribor
UK regulator quizzes banks on margin gaps
Request for ‘risks-not-in-Simm’ data could usher in new Pillar 2 capital charge
Libor reform threatens risk modelling under FRTB
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Is AD the answer to quicker MVA calculation?
Quants propose faster technique for Simm-MVA based on algorithmic differentiation
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
ECB looks to ‘accelerate’ Ester publication
Industry pleas to publish new risk-free rate earlier may be finally answered
Benchmark bother: Europe frets over new risk-free rate
Unsecured fixing from ECB faces off against two repo-based rates, as 2020 benchmark deadline looms large
How old calibration techniques can be applied to exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Swaptions vol modelling tweak opens up pricing possibilities
Nomura quant proposes local volatility model that can directly calibrate to swaption smiles
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
How machine learning could aid interest rate modelling
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
Euribor can stay if reforms succeed – ECB’s Holthausen
Regulator also sees no clear favourite in array of Ibor fallback approaches
Number of banks per RFQ jumps in EU, posing risk to prices
Some requests for quote are sent to over 20 dealers, raising worries about information leakage
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Single-dealer platforms win in Mifid forex shake-up
Best execution rules not driving liquidity away from sole dealer platforms as expected
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts
Podcast: Fries on Monte Carlo, Greeks and the future of AAD
Research on AAD is not complete until it becomes easier to implement, says quant