Arbitrage
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
Boaz versus BlackRock: the fight over closed-end funds
Saba founder says he never planned to be an activist investor. Now he’s battling BlackRock – again
Locational arbitrage strategies for Shanghai crude futures
The authors investigate crude oil futures introduced on the Shanghai International Energy Exchange in March 2018 and the locational trading strategies they can provide and put forward an example of locational arbitrage hedged against foreign risk.
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
EU crypto rules would allow terra, just not as a stablecoin
Final laws set to prevent algorithmic coins from styling themselves as “stable”, says insider
Designed to fail: terra and the limits of arbitrage
Speculative ‘attack’ exposed fundamental flaws in crypto’s algorithmic stabilisation mechanism
Leaked EU doc shows pushback on cross-border trading ban
Member states propose loosening European Commission’s CRD draft to varying degrees
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Blockade or blunder? Enigma of EU cross-border trading ban
Drafting errors and lawmaker’s comments leave industry perplexed about controversial new rules
Transparent pricing data shapes the evolution of indexation in fixed income
In this audiocast, MarketAxess' Kat Sweeney, head of index and ETF Solutions, and John Keller, ETF and index product manager, share their views on the evolution of credit market structure and how MarketAxess is using its unique vantage point to inject…
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
Podcast: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
One-week-ahead electricity price forecasting using weather forecasts, and its application to arbitrage in the forward market: an empirical study of the Japan Electric Power Exchange
This paper constructs a model using weekly weather forecasts for forecasting week-ahead average electricity prices and applies it to an arbitrage strategy in the forward market.
Impact of changes in the global environment on price differentials between the US crude oil spot markets for the periods before and after 2008–9
This paper uses threshold cointegration to examine price differentials between crude oil spot markets in the US for the periods before (2000–2007) and after (2010–17) the advent of major technological and other changes impacting the oil sector.
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
Quantum kit offers HFTs ‘100-fold’ speed boost
After spotting FX arbitrage opportunities, new tech faces real-world test in Japanese stocks