Risk magazine
Padeciendo un aplanamiento
Opciones Sobre Diferenciales de CMS
Expectativas desinfladas
Inflación
Commodity options optimised
In 2005, John Crosby introduced a very flexible framework in which it is possible to price derivatives, including exotics, on almost any underlying commodity. In this article, he shows how pricing can be done approximately 30 to 400 times faster than the…
Weighted Monte Carlo
Most pricing models assume an asset behaviour and calibrate its parameters to fit the market. Weighted Monte Carlo is able to calibrate the market without making specific assumptions about the asset behaviour. When only vanilla products are considered,…
Smiling hybrids
Vladimir Piterbarg develops a multi-currency model with foreign exchange skew suitable for valuation and risk management of forex-linked hybrids, in particular power-reverse dual-currency (PRDC) swaps. The emphasis of the article is on model calibration…
In Algos we trust?
Electronic trading
Hey big lender
Technology
Balancing the books
Liability-driven investment
Gauging performance
Hedge fund perspective
A forward view
Corporates
On shaky foundations
Property derivatives