Options
EU members of US options CCP face $30bn capital hit
OCC fears approval will be held up by absence of SEC clearing rules
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
Recursive profit-and-loss sharing
This paper develops a new financial product that allows the profit-and-loss sharing (PLS) principle to be enforced recursively in practice.
Exotic forex option losses in 2008 still haunt market
SMEs have returned to option strategies since the financial crisis but in a more nuanced way
Citi exec laments plight of the quants
Quant Congress USA: Quant departments have become “sterile” and “dumbed-down”
CFTC’s Massad woos energy firms with Dodd-Frank fixes
Agency chief sidesteps question over whether Gensler rushed rules
SNB’s Danthine: traders wrong to paint Sfr surge as black swan
It was “absolutely certain” that SNB would end Swiss franc floor, says vice-chair
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Iron ore depreciation boosts options market
Options now account for 60% of total open interest on SGX's iron ore derivatives
RBI says India corporates need to increase forex hedging
Potential US rate rise puts rupee depreciation back on the table
FVC review: Investec’s five-year FTSE growth plan
Capital-protected product will use averaging to calculate final returns
Trading error spooks China ETF options traders
Abnormally low premiums cause exchange to shut down, but market participants are unclear about the reason for the error
Risk recycling issues stall China forex option market
Onshore corporates yet to take advantage of increased hedging options
Primes re-pricing and exiting their tails
Start-ups struggling to establish multiple PB relationships
Hedge funds pile into Japan dispersion trade
Rise in single stock uridashi issuance drives trade
CFTC's Wetjen urges fix to commodity options problem
Energy firms need clarity on 'seventh prong', commissioner says
CFTC close to fixing Dodd-Frank commodity option woes
Agency said to be exploring solution for embedded volumetric options
West Coast boutique crafts custom structured products
Denver RIA became engrossed in world of derivatives following financial crisis
China options market faces margin and settlement challenges
China exchange developing technique to reduce margin requirements
Ethics and moral standards are as crucial to finance as ever
Carney’s words echo work of Émile Zola on the value of social capital