Calibración - Monte Carlo ponderado

Cutting Edge

Considerar el efecto sonrisa al valorar derivados exóticos es una cuestión de gran interés para operadores de mercado y profesionales del sector. Ello se debe a que la repercusión de este efecto sobre el precio y la cobertura puede ser muy importante. Bajo la hipótesis de un mercado eficiente, la asimetría y la sonrisa en el mercado de opciones 'vanilla' pueden explicarse bien por el hecho de que la volatilidad no es constante o porque el proceso de precio del activo puede tener saltos.

Ha habido

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Stemming the tide of rising FX settlement risk

As the trading of emerging markets currencies gathers pace and broader uncertainty sweeps across financial markets, CLS is exploring alternative services designed to mitigate settlement risk for the FX market

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