Pricing
Little consensus on how banks manage FVA
Risk Benchmarking: Majority of dealers still mix and match methodologies for funding adjustments
Intraday pricing: fixed income’s next frontier
With firms looking to price fixed income securities on an intraday basis, specialist pricing providers such as LSEG help address cost, complexity and time-to-market challenges
Repricing inflation risk in choppy energy markets
Barclays’ Samy Ben Aoun outlines a method for modelling the sensitivity of inflation swaps to energy shocks
Reconciling P- and Q-calibration with path-dependent volatility
A mixed approach designed to improve calibration robustness is presented
Optimal quoting under adverse selection and price reading
A market-making model is introduced to account for significant real-world effects
Profit-guaranteed locational marginal price computation in non-convex electricity markets using sequential linear programming
The authors put forward a locational marginal pricing scheme based on a primal–dual formulation for a market-clearing model that accounts for non-convexities related to fixed startup/shutdown and no-load costs, minimum generation, up/down time and…
UK’s benchmark rewrite threatens access to Asia NDF fixings
Key offshore rates likely to fall in scope of new regime, potentially pushing them out of bounds
Swaps traders spot their e-FX chance – finally
Swaps and forwards dealers are increasingly using spot e-FX techniques for pricing and risk management
A tidal wave of token costs threatens landfall
Soaring token usage is forcing financial firms to rethink the economics of modern enterprise AI
The fundamental representation of pricing adjustments
A unified representation of derivative pricing adjustments is presented
Dealers split on best path to electronically hedge FX swaps
IDB costs see banks eyeing Clobs and dark pools, but traders say brokers still have their charms
Differential machine learning with a difference
A technique to improve approximations for pricing derivatives with discontinuous payoffs is introduced
Waiting for the light: what’s stalling European equity markets?
Esma says EU market has a structural problem, but the focus on lit vs dark trading overlooks post-trade issues
Market-makers give mixed verdict as CME Spot+ turns one
Traders encouraged by depth of liquidity despite wider spreads and passive performance qualms
An eye on API: bilateral FX takes hold with some asset managers
Long-term savings in trading costs are tempting buy-siders to explore direct connectivity with liquidity providers
FX market-making with internal liquidity
A model to optimally manage clients’ orders to internal liquidity pools is presented
What futures and options say about the cost of war
Spot prices reveal major disruption, futures indicate this will pass, options imply ongoing instability
A smooth fit for complex volatility surfaces
Quant shows a new way to capture implied vol with optimisers
Iran conflict forces EM carry trade unwinds
Surging oil prices, rising vol and dollar flight triggered stop-outs of emerging market positions, say dealers
EBA guidance prompts banks to rethink CSRBB perimeters
Banks will likely have to expand their credit spread risk coverage following recommendations
Markets never forget: the lasting impression of square-root impact
Jean-Philippe Bouchaud argues trade flows have a large and long-term effect on asset prices