This paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or…
This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate B-splines.
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Computers could be used to spot kinks in volatility surfaces
In this paper, the author proposes a method to estimate the tail shape parameter of the risk-neutral density.
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading
Lawyers say shock court judgement in ruble options dispute “puts hundreds of contracts at risk”
Options-based instruments can halve initial margin for some non-cleared products, say dealers
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
Investor demand now drives oil prices as much as physical fundamentals
Deutsche loses Asia head of global markets; StanChart hires HK chief; new Singapore head for Credit Suisse; and others
New rules limit options volatility in P&L; some hedgers already taking advantage, banks claim
PBoC extends reserve requirements on onshore forwards to foreign banks
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
New service to debut in August, but liquidity risk has stalled other CCPs
Emerging market trades dropped more than 80% after 'leave' vote
Last-gasp hedges may have eased the pain of Brexit for some banks
Market-making desks struggling to recycle some client flows ahead of referendum
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
GZC’s Elbhar rode oil spread trade to 40% annual return in 2015
"The rules are based on assumptions that are incorrect," says Isda