Pricing
Invesco bets on new tech to refine its FX trading
Home-grown tool will improve order routing and execution strategies, asset manager believes
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Deutsche Börse eyes quantum computing
Pilot application to model enterprise risks cuts computation time from 10 years to 30 minutes
OTC FX options market gears up for faster electronification
Share of electronic trading remains low but host of factors promise to change that for good
CanDeal ideal: could Canada make a sea-change in e-trading?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
End ‘senseless’ ban on midpoint trading, asset managers urge
Investors decry European rule that forces them to trade some equities in whole tick sizes
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Time for the next-generation investment book of record – Eidos
Calypso Technologies’ end-to-end Ibor, decision and order support (Eidos) is the only effective and efficient way to bring together suppliers and consumers of enterprise investment data
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Bilateral streams slash FX trading costs by 80%, dealers claim
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Differential machine learning: the shape of things to come
A derivative pricing approximation method using neural networks and AAD speeds up calculations
Asia quant house of the year: UBS
Asia Risk Awards 2020
Pricing and trading system of the year: Murex
Asia Risk Technology Awards 2020
The econophysics of asset prices, returns and multiple expectations
The author models interactions between financial transactions and expectations and describe asset pricing and return disturbances.
A new arbitrage-free parametric volatility surface
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
Pricing data in fixed income markets – Is transparency truly an issue?
Jason Waight, head of regulatory affairs, Europe at MarketAxess, explains how investment in commercial transparency solutions has proven itself in 2020, and why this leaves a question mark over the potential value of a centralised bond tape
Studies test investors’ risk aversion after crash
Researchers use March tumult to investigate psychology of risk-taking
Deutsche Börse to exit regulatory reporting business
Pricing war and cost pressures force service providers to reconsider regulatory reporting businesses