Derivatives pricing
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Smaller Japan banks set to adopt CVA accounting
IFRS convergence levels playing field as regional banks start to price in credit risk
Quants of the year: Andrei Lyashenko and Fabio Mercurio
Risk Awards 2020: Quants extend Libor market model to accommodate backward rates
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
EU banks relax credit terms for OTC trades – ECB
Price and non-price trade conditions likely to ease for most firms in Q3
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
Podcast: Hans Buehler on deep hedging and harnessing data
Quant says a new machine learning technique could change the way banks hedge derivatives
Easing of euro OTC trade terms anticipated – ECB
Financial strength of counterparties and competitive pressures could cause easing
Roughening Heston
El Euch, Rosenbaum, Gatheral combine a rough volatility model with the classical Heston model
Banks use machine learning to ‘augment’ corporate sales
Big banks are embarking on massive projects to tie up machine learning and big data to sell better to clients
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
How banks can keep pace with XVA
The complexity of derivatives pricing has grown significantly in the past decade, with banks having to factor in a series of valuation adjustments to calculate the impact on their balance sheets. With budgets and resources under pressure, and traditional…
Quant drought hits banks and funds in Asia
Limited pool of talent hindering expansion of sophisticated strategies across buy and sell side
UK derivatives market arrests decline
Gross derivatives values grow £132 billion quarter to quarter
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
In this paper, the authors present a new approach to bounding financial derivative prices in regime-switching market models from both above and below.
How old calibration techniques can be applied to exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options