Optimisation

Regularization effect on model calibration

This paper compares two methods to calibrate two popular models that are widely used for stochastic volatility modeling (ie, the SABR and Heston models) with the time series of options written on the Nasdaq 100 index to examine the regularization effect…

FX forwards and swaps

LCH’s Kah Yang Chong, head of FX Emea product, and James Shanahan, head of FX quantitative analytics, discuss whether clearing of FX forwards and swaps – so far limited by requirements under UMR – will provide the efficiencies market participants need

Turning challenges into solutions

With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…

Next-generation technologies and the future of trading

This webinar explores how trading businesses can adapt to this new environment to improve margins and generate alpha, examining the future of trading technology, how companies will implement these new innovations and new skills that might be needed.

Navigating UMR phases five and six

As awareness grows of the complexities ahead, a panel discusses best practice, their recent experiences and the challenges in-scope firms face as they prepare to meet UMR

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