Pricing
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Semi-analytic conditional expectations
A data-driven approach to computing expectations for the pricing and hedging of exotics
Pricing data is key to unlocking FX swaps e-trading
Digitec’s Stephan von Massenbach on why automation is needed for e-trading to reach its potential
Banks adopt Python for faster XVA data analysis and pricing
Some banks claim the coding language permits XVA pricing in milliseconds
Funds forced to estimate value of Russian securities
Western asset managers can sell Russian shares from April 1. But they have to value them by March 31
Is factor momentum greater than stock momentum?
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Banks strive for machine learning at quantum speed
Embryonic work on quantum neural networks raises hope of faster, more accurate models
For OTC derivatives, the pricing (still) isn’t right
Financial instrument expert Dirk Schubert on how post-GFC rules have caused prices and valuations to diverge
Markets Technology Awards 2022 winners' review
The Markets Technology Awards were as fiercely contested as ever this year, a testament to the volume, strength and variety of technology firms playing a key role in today’s markets
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
Private companies ‘lack data transparency’
Investors held back over issues around data quality and availability
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Currenex lawyers ask judge to dismiss class action lawsuit
Case alleging secret priority trading deals brought too late and not based on facts, defence argue
Last look add-on is disappearing. Is that good for the market?
Views diverge on whether removal of additional hold times will benefit FX liquidity consumers
Big data challenges: unlocking opportunities for banks to rethink their data structures
Revisions to banks’ mandatory capital requirement regulations, to be implemented in a few jurisdictions in January 2023 and globally in 2024, will present these institutions with a massive challenge as the volumes of data they must manage and analyse…
No fair: buy side takes on pricing problem in FX forwards
Interest in TCA is growing as new data sources offer glimpse into murky swaps and forwards market