Non-linear models
Lag in the SOFR-linked non-linear derivatives market: three barriers to transition
Risk.net explores three themes in SOFR non-linear derivatives discussed by experts in a webinar sponsored by Numerix
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
US swaptions slowly ditch Libor as ‘SOFR First’ bites
Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Podcast: CFM’s Bouchaud on agent-based models and ESG investing
Hedge fund quant, and Risk.net’s new columnist, shares his unique take on markets
To make sense of complex systems, send in the agents
Standard quant models cannot comprehend a radically complex reality, writes Jean-Phillippe Bouchaud