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.
Quants propose faster technique for Simm-MVA based on algorithmic differentiation
StanChart quant proposes new technique to compute MVA quicker
Deep learning techniques are being explored by the quants to speed up exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
City of Linz v Bawag case underlines risks in municipal derivatives
The authors develop a technique, based on numerical inversion, to compute the prices and Greeks of lookback options driven by Lévy processes.
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Dealers tackle uncertainty over basis risk
Julien Guyon on path-dependent volatility models
Sponsored video: Societe Generale
Local correlation families
Filling the gaps
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt and Olaf Torné derive the fair strike when both…
Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional partial differential equations usually…