Derivatives
ニューラルネットワークによる デリバティブ価格評価
本稿では、Murexの専門家が、デリバティブモデルを高 精度で再現し、トレーディングやリスク管理用途 において信頼性を確保するために設計した機械学 習アーキテクチャについて解説します。
Opportunity knocks as big US dealers step back
Dealer Rankings 2025: Third annual exercise shows top US dealers are less dominant, allowing Barclays and others to strengthen
Tidal rides retail boom to lead in single-stock options
Counterparty Radar: Volatility-selling ETF firm accounts for half of trading among US funds
Wells Fargo’s FX strategy wins over buy-side clients
Counterparty Radar: Life insurers looked west for liquidity after November’s US presidential election
Europe’s Ucits funds: Made in the USA
Counterparty Radar: EU retail funds market is a prime example of Trump’s miscalculation on trade
Goldman Sachs doubled FX trading revenues in 2024
Bumper Q4 powers bank to head of US dealer pack by foreign exchange revenue
Vanguard is new kid on the CDS options block
Counterparty Radar: Passive behemoth held a quarter of reported notional among US retail funds in Q4 2024
BNPP overtakes Barclays in Ucits single-name CDSs
Counterparty Radar: Europe’s retail funds shed notional but used wider range of underlyings, new data shows
BNP Paribas’ FX forwards notional jumps 75% in Q2
Counterparty Radar: French bank’s increased trading with Pimco lifts it into top spot
Pricing and valuation systems 2024: market and vendor landscape
The landscape of pricing and valuation systems, considering the unique demands of different financial assets, as well as their market dynamics and interdependencies
Citi revealed as top index CDS dealer to Ucits funds
Counterparty Radar: Novel data shows US banks captured nearly 90% of uncleared notional volume in European markets
How Risk.net’s robots unlocked Ucits trade data
Machine learning tool helps reveal the largest European derivatives users – and who they trade with
Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
CVA swap: a new type of capital relief trade
Dmitry Pugachevsky, Quantifi, discusses the emergence of the CVA swaps market
From ‘glut effects’ to ‘greedflation’: the factors shaping derivatives markets in 2024
Societe Generale and Risk.net held the ninth edition of their annual flagship Derivatives Conference in the iconic SG Towers at La Défense. Usually hosted in London, the event was co-sponsored by the CME Group and took place in Paris for the first time,…
The unknown risk on the flip side of the basis trade
US mutual funds have amassed record notionals in Treasury futures that in some cases exceed their AUM
BNP takes top forwards spot with US mutuals
Counterparty Radar: French bank ousts Bank of America to lead the table for the first time
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions