The collateral transition to SOFR will create convexity adjustments that need to be modelled
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Research into rates pricing is becoming more urgent given recent regulatory changes
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
In this paper, the authors show that single-asset trend strategies have built-in convexity, provided their returns are aggregated over the right time scale, ie, that of the trend filter.
In this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
Seesawing markets prompt speculation of big losses for structured product issuers
Clients complain of six-fold hike after rates volatility hits dealers' par swap hedges
Futures rates should always exceed those of the corresponding forward rate agreement, finance theory states. So why did the Euribor markets contradict this in May, with a so-called negative convexity adjustment? Laurie Carver reports
Collateral convexity complexity
Viva Las Vega!
Quadratic Gaussian inflation
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
CMS: covering all bases
Constant maturity asset swap convexity correction
CMS: covering all bases
Mire in margin minutiae
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities…
Constant maturity products