Dynamic hedging
ALM banking after the crisis: stress-testing for more robust liquidity management practices
A panel of industry experts discusses a new age of depositor behaviour and the expected evolution of regulations in the wake of the ALM banking crisis. They share insights on achieving integrated approaches to ALM, as well as dynamic hedging strategies…
Japan autocall curbs upend Nikkei vol
Lack of reinvestment alongside FSA review forces scramble to buy back hedges as products knock out
The chatbot and the quant: GPT shakes finance education
With smarter large language models, quant grads risk turning into AI-assisted slackers, writes Gordon Lee
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Reviving the lost art of perturbation for exotic pricing
Natixis quants find novel way to speed up volatility smile modelling
Singular exotic perturbation
A solution based on local volatility and sensitivities is proposed to calculate exotics' prices
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Hedging valuation adjustment: fact and friction
Transaction costs’ impact on hedging can now be quantified
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
Autocall dealers wary of Nikkei volatility surge
Dealers caught in danger zone as losses lurk on upside and downside spikes
Dynamic delta option strategies in Nordic electricity markets
This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts.
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Enterprise risk management powers up at utilities
Revived focus on ERM, but expectations now more realistic on what it can achieve
Hedging error measurement for imperfect strategies
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
The benefit of a dynamic approach in making hedging decisions
Sponsored feature: Commerzbank
Asia Corporate Energy Risk Manager of the Year: Etihad Airways
A conservative yet flexible jet fuel hedging programme has proven successful for Etihad
Cutting edge: Correlation functions in the crude oil and natural gas futures markets
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the…
Applied risk management series: OTC commodity swaps valuation, hedging and trading
OTC commodity swaps valuation, hedging and trading
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets