Dynamic hedging
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
Applied risk management series: OTC commodity swaps valuation, hedging and trading
OTC commodity swaps valuation, hedging and trading
Tullett Prebon launches private equity hedge for Solvency II
Will reduce capital charge by at least 75%, inter-dealer broker claims
Managing Solvency II's equity capital charge
The volatility challenge
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Valuation of commodity structures in co-integrated futures markets
Valuation of commodity structures in co-integrated futures markets
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Index innovation of the year
Index innovation of the year