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A fully lognormal Libor market model

In the Gaussian Heath-Jarrow-Morton model, all discount factors are lognormal under allforward measures. The Libor market model does not have this property – only the relevantforward Libor rate is lognormal under a given forward measure. However, all…

Back to the future

Current developments in exotic interest rate products push the demand for more sophisticatedinterest rate models. Here, Jesper Andreasen presents a new class of stochastic volatility multifactoryield curve models enabling quick calibration and efficient…

A Merton approach to transfer risk

Transfer risk is the risk that debtors in a country are unable to ensure timely payments of foreign currency debt service due to transfer or exchange restrictions, or a general lack of foreign currency. Although this risk is not extensively addressed in…

BNP strengthens hedge fund forex sales

Farielle Boufaden will join the foreign exchange hedge fund sales desk at BNP Paribas in London from HSBC. She held a similar role for two years at the UK bank with a particular focus on selling derivatives.

Icap names new global head of futures

Icap has hired Kevin Collins as global head of futures in New York. Collins will lead the development of the London-based inter-dealer broker’s US business, and will also drive its existing operations in Europe and Asia.

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