The authors propose an explicit formula for the conversion of implied volatilities corresponding to dividend modelling assumptions which covers a wide range of strikes and maturities.
Poor price discovery presents opportunities for systematic traders in super-trending markets
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
As regulatory stress tests evolve and a new age of stress-testing approaches, firms are looking to maximise value by making the most of scenario-based analytics. John Voigt, principal solutions manager at SAS, explores the importance to institutions of…
In this paper, the authors analyse the convergence of tree methods for pricing barrier and lookback options.
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
In this paper, the authors introduce a novel, explicit, wide-stencil, two-dimensional (2D) tree–grid method for solving stochastic control problems (SCPs) with two space dimensions and one time dimension, or, equivalently, the corresponding Hamilton…
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Although most banks are progressing rapidly towards a certain standard in MRM practices, the rate of progress is uneven and so are the ambition levels. Management Solutions provides a summarised overview of the state of MRM evolution and how banks are…
Top regulators frustrated by push to ring-fence capital and liquidity in EU subsidiaries of EU banks
Trax estimates 5% of corporate bonds will be subject to full transparency after four-year phase-in
This paper applies classical theory to determine if limiting distributions exist for WCvM test statistics under a simple null hypothesis.
European Commission’s review of the three supervisory authorities fraught with difficulties
A mixed Monte Carlo and partial differential equation variance reduction method for foreign exchange options under the Heston–Cox–Ingersoll–Ross model
The paper concerns a hybrid pricing method build upon a combination of Monte Carlo and PDE approach for FX options under the four-factor Heston-CIR model.
Harmonising national rules top priority, but agency lacks staff and power
FASB and IASB must keep trying to unite standards, say bank regulators
IASB and FASB have failed to bring standards together, stakeholders say
Stakeholders have given up hope of accounting convergence
Ucits hedge funds underperform hedge funds
US standard-setter tilting towards IFRS on accounting for financial instruments
Risk Awards 2008
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