A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
A data-driven approach to computing expectations for the pricing and hedging of exotics
A solution based on local volatility and sensitivities is proposed to calculate exotics' prices
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
New simulation scheme clears the way for broader application of the rough Heston model
Neural network trained to hedge complex options using simulated data expected to go live this year
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
New model makes it easier to coherently price correlated derivatives
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
In this paper, the authors discuss how tree-based machine learning techniques can be used in the context of derivatives pricing.
In this paper, the authors introduce two mixing fractions that can be controlled separately to apply impact to the volatility-of-volatility and the correlation in a lognormal LSV model.
A new technique for pricing exotic options unifies two classic models
This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework.
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
Dividend-related losses at BNP Paribas may be higher than previously reported
Structured trades go on the block following last month's sale of flow and prime broking assets
An estimated $60 billion of structured notes are at risk of being called before year-end
Flatter US yield curve spurs demand for a product with a painful history
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Hedging headaches force issuers to seek new structured product blockbusters
Dealers caught in danger zone as losses lurk on upside and downside spikes
In this paper, the authors give a preprocessing step for Fourier methods that involves projecting the Green’s function onto the set of linear basis functions.
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
In this paper, the authors present a new approach to bounding financial derivative prices in regime-switching market models from both above and below.