Derivatives pricing
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
How Citi moved GenAI from firm-wide ban to internal roll-out
Bank adopted three specific inward-facing use cases with a unified framework behind them
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
Technology vendor of the year: Numerix
Risk Awards 2025: Fincad and PolyPaths deals added coverage; AAD and cloud refactoring boosted speed
Pricing share buy-backs: an alternative to optimal control
A new method applies optimised heuristic strategies to maximise share buy-back contracts’ value
Banks must break data silos to improve pricing decisions
Data consistency is increasingly key to judging risk and reacting quickly in a crisis, writes former XVA practitioner
Skylight finds an opening in consensus pricing
Service provider claims key factors differentiate its own offer from the market leader’s
Japan’s interest rate derivatives trading and clearing on the rise
Japan Exchange Group and OpenGamma chart Japan’s journey towards a flourishing derivatives trading and clearing ecosystem
Mastering XVA dynamics from the buy side
Amid fluctuating prices and macroeconomic uncertainty, buy-side firms are taking a more proactive role in challenging the derivatives valuations of their sell-side counterparties
New proxy schemes for swing contracts
The authors investigate the valuation of swing contracts for energy markets and propose two methods which offer more accurate calculated prices than commonly used methods.
SABR convexity adjustment for an arithmetic average RFR swap
A model-independent convexity adjustment for interest rate swaps is introduced
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals
How to account for banks’ contribution to CO2 emissions
Price adjustments will depend on individual counterparties’ carbon footprints
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Robust pricing and hedging via neural stochastic differential equations
The authors propose a model called neural SDE and demonstrate how this model can make it possible to find robust bounds for the prices of derivatives and the corresponding hedging strategies.
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
FVA hedge omission from FRTB set to cause headaches
Lack of carve-out for market risk hedges could create hedging issues, experts say
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Podcast: the right way to wrong-way risk and climate risk in XVA
MUFG quant thinks outside the box on risk management
Model risk quantification based on relative entropy
This paper proposes a minimum relative entropy technique for challenging derivatives pricing models that can also assess the model risk of a target portfolio.