Derivatives pricing
Derivatives house of the year: Citi
Risk Awards 2026: Rev up, RWAs down, as US bank gets back on track (with added XiNG and XiP)
Copulas find new role in derivatives pricing
Pricing model for exotic options revives poster child of 2008 credit crisis
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Inside the company that helped build China’s equity options market
Fintech firm Bachelier Technology on the challenges of creating a trading platform for China’s unique OTC derivatives market
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
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