Pricing
Banks seek to advance predictive pricing models
AI and machine learning-based tools could give FX desks the power to forecast currency movements
Automated market-making tested by intraday FX vol
Price gaps in spot FX markets could be exacerbated by algos trading on headline risk
Citi rolls out revamped SDP in emerging markets
Unified API will boost electronic pricing and automation for restricted currencies, says bank
Trump’s tariff threats stress London gold market
Cost of funding customer positions has shot up 10,000% as deliverable supplies shift to New York
For AI’s magic hammer, every problem becomes a nail
Risk.net survey finds banks embracing a twin-track approach to AI in the front office: productivity tools today; transformation tomorrow
TD’s prop-style trading shop rises up bond rankings
Ascent of bank’s bond trading business comes amid electronification changes in US fixed income market structure
Bloomberg offers auto-RFQ chat feed – but banks want a bigger prize
Traders hope for unfettered access to IB chat so they can build their own AI-enhanced trading tools
Pricing time-capped American options using a least squares Monte Carlo method
This paper uses a modified least squares Monte Carlo method to price time-capped American options.
The path to operational resilience begins with reliability and risk management
The challenges Apac financial services firms face enhancing operational resilience and leveraging data and hybrid cloud
Pricing American options under irrational behavior in a Markov regime-switching model with a finite-element method
The authors investigate the problem of pricing American options under an irrational strategy, putting forward a method to negate this problem and demonstrate the performance of this model against alternatives.
Deep equal risk pricing of illiquid derivatives with multiple hedging instruments
The authors propose the using equal risk pricing for market-consistent valuation of illiquid financial derivatives, transferring information in liquid hedging strategy prices into the price of the illiquid derivative.
Bilateral streaming relationships set to grow, say LPs
FX Markets Europe: More clients are embracing APIs to access bank liquidity directly
Dealers weighing response to FXGO’s fee plans
Spread compression means costs will likely have to be passed to clients, say banks
Currency derivatives house of the year: UBS
Risk Awards 2025: Access to wealth management client base helped Swiss bank to recycle volatility and provide accurate pricing for a range of FX structures
Pricing and reference data in the cloud: fuelling opportunity today
A cloud-based security master can transform data management, analytics, automation and innovation across the enterprise
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
Pricing and trading system of the year: Murex
In contrast to previous years, trading activity in the Apac region is being driven increasingly more by local considerations, and this plays to Murex’s strengths: a technology vendor that offers in-depth market knowledge and extensive support across the…
Pricing and valuation systems 2024: market and vendor landscape
The landscape of pricing and valuation systems, considering the unique demands of different financial assets, as well as their market dynamics and interdependencies
A hard exit threshold strategy for market-makers
A closed-form solution to derive optimal stop-loss and profit-taking levels is presented
Jane Street ups its game in FX market-making
High-frequency trading firm now streaming bilateral spot FX liquidity to clients
Recent volatility highlights tech’s vital role in fixed income pricing
MarketAxess’ Julien Alexandre discusses how cutting-edge technology is transforming pricing and execution in the fixed income market amid periodic bouts of volatility