Derivatives
The relative entropy of expectation and price
The replacement of risk-neutral pricing with entropic risk optimisation
Bank of America leaps to fourth on global OTC derivatives ranking
Bank overtakes BNP Paribas, Morgan Stanley, Goldman and Citi with €8.3 trillion expansion in 2024
Quantcast Master’s Series: Petter Kolm, Courant Institute
The NYU programme is taught almost exclusively by elite financial industry practitioners
Record $95bn in equities sits with US banks as OTC margin
Stocks on par with US Treasuries in top dealers’ collateral trove
Want to be a quant? Here’s how (and how not) to get hired
Stay curious, be a team player, speak well – and don’t be big-headed
Derivatives client clearer of the year: Citi
Risk Awards 2026: When tariffs rocked markets, Citi’s FCM was a model of reliability
Equity derivatives house of the year: JP Morgan
Risk Awards 2026: Volatility strategies and technology investment help realise hyper scale-up
Compression eases capital, risk bottlenecks amid CNH swap boom
Dealers say multilateral compression for yuan cross-currency swaps can increase trading capacity
Bringing trading-desk data into derivatives pricing models
PricingDirect’s new autocallable model, which reflects the shift towards data-driven transparency as firms rethink how they value complex derivatives
Quantcast Master’s Series: Laura Ballotta, Bayes Business School
The business school prioritises the teaching of applicable knowledge with a keen eye on the real world
The importance of modelling futures dynamics in commodity index derivatives
Index-based and underlying-based pricing methods for commodity derivatives are presented
Ex-governor says Fed should use Treasury derivatives in crisis
Doing so could split response from monetary policy and hedge interest rate risks, argues Jeremy Stein
European exporters add flexibility to FX hedges
Corporates with USD exposures have been reducing hedging tenors and adding optionality
Korean autocalls to make comeback, with ‘smaller pie’ for banks
As equity-linked autocallable channels look set to reopen, new rules could limit market’s revival
European exchange-traded IR derivatives balloon in H1
New highs in F&Os mirror OTC derivatives growth in BIS survey
Real money rides the hybrid options wave
Insurers follow hedge funds into exotic trades with equity-down, yields-down recession plays
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
JP Morgan SE’s clearing rate plunged to 15% in 2024
US bank’s EU arm slashed €5.7trn in cleared notionals, while bilateral grew €11.4trn
The implications of extraordinary speed in contemporary financial markets trading
This paper shows how high-frequency traders cancel many trading orders within 20 milliseconds of submission and proposes batch auctions to mitigate queuing risk for high-frequency traders.
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
Euro IR derivatives dethrone dollar as turnover hits new high
Latest BIS triennial survey shows euro-denominated contracts averaged $3trn a day in April