Asia Risk
Short on shorts?
Hedge funds
Raising the stakes
Second generation
Malaysia's CLO debut
Securitisation
Diligence due
Editor's letter
Set for meltdown?
Cover story
Stunned by subprime
CDOs of ABSs
Supervisory clampdown
Korea regulation
Stuck on the margins
Prime broking
HDFC Bank chooses Misys for rates
News in brief
Singapore stumbles
Exchanges
The power law
Masterclass
TT links to SGX
News
Markovian projection for volatility calibration
Vladimir Piterbarg looks at the Markovian projection method, a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the essence…