Feature
Open for business
New frontiers
Bouncing back
New frontiers
Testy politicians muscle in on Basel II negotiations
Members of the European Parliament (MEPs) based in Brussels and members of the US House of Representatives in Washington DC are beginning to throw their weight around in the Basel II process.
Pepsi to treat executive stock options as an expense
International soft drinks company Pepsi has joined the growing number of US businesses that intend to treat executive stock options as a balance sheet expense.
a changing landscape
Derivatives debate
One broker or two?
Prime brokerage
alphabeta soup
Analysing returns
A better alternative?
Investible indices vs funds of funds
Hammer and Fickle
Russia
Bursting with energy
Technology
Press gang
Press and marketing
Gordy rises on Basel credit wave
Who are the most influential authors of articles on quantitative finance? Every year, we total up the citations of sources given at the end of papers published in the Cutting Edge section of Risk.
Shadow interest
Using a Vasicek process for the shadow rate, Viatcheslav Gorovoi and Vadim Linetsky develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market. This…
Index volatility surface via moment-matching techniques
Peter Lee, Limin Wang and Abdelkerim Karim present a basket construction technique using Gram-Charlier-Edgeworth expansions. They show how to express basket option skews and smiles in terms of its underlying components, and demonstrate how market…
A one-way argument?
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Pension funds go for inflation swaps
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Government bonds
Fuller figures
Electronic trading: Introduction
Every last drop
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