Bilateral trade
Cutting Edge introduction: Taming MVA
Lloyds quants tackle computation of margin add-on for derivatives prices
Japan slams European rules on bilateral swaps
Japanese firms will to look to use non-European counterparts
Fuel hedgers bemoan bank retrenchment from commodities
Delta Air Lines sees fewer counterparties for bilateral trades
Cutting edge: Valuation and optimal hedging of storage contracts in incomplete gas markets
In this paper, Magnus Wobben, Tilman Huhne, Yuri Ivanov and Sebastian Hanneken examine the impact of market incompleteness on the valuation of gas storage contracts. In contrast to prior research, their proposed valuation framework accounts for the…
Cutting CVA's complexity
Cutting CVA's complexity
Review of 2011: collateral, capital and chaos
Collateral, capital and chaos