Pricing
The relative entropy of expectation and price
The replacement of risk-neutral pricing with entropic risk optimisation
Why flows now rival fundamentals
Geography and market sentiment are having profound impacts on price action, says LMAX’s head of FX data
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
How FX pricing is adapting to Trumpian markets
Dealers are tying pricing engines to new signals in effort to cope with out-of-the-blue moves
Multi-factor Gaussian model calibration: swaptions and constant maturity swap options
A novel closed-form method delivers a new way to calibrate interest rate models
ICE’s approach to pricing global fixed income assets
Accurate and transparent bond pricing is critical for managing risk, meeting regulatory requirements and making informed investment decisions
Repricing risk in a global rate reset
Firms are reallocating risk exposure, evolving forecasting models and leveraging deep macroeconomic data to uncover patterns and challenge assumptions
Hedge before the fix to avoid predatory traders – research
In simulations, slow and steady hedging for 4pm benchmark orders shaved up to 25% from costs
Taco trades and fake news fatigue
Is another era of ‘will he, won’t he’ numbing rates and FX traders to its jeopardy?
From fringe to forecast: why bitcoin now moves like a currency
LMAX data finds crypto prices react to macro market events as quickly as EUR/USD
Numerix strikes Hundsun deal as China pushes domestic tech
Homegrown tech initiative – ‘Xinchuang’ – a new challenge for foreign vendors
Bank FX market-makers ramp up AI usage
Barclays applies tech to predictions, while HSBC and ING look at pricing accuracy
Disclosed trading an oasis in the FX liquidity ‘mirage’
LPs say growth of relationship-based trading bolstered market during April volatility
Banks seek to advance predictive pricing models
AI and machine learning-based tools could give FX desks the power to forecast currency movements
Supervisors should be mindful of geopolitical risks, says IMF
Shock events cause sizeable swings in asset pricing, institution’s latest report highlights
Dealers bullish on Bloomberg chat interface for FX markets
Service expanded its API offering to integrate broker chats into banks’ engines for cash FX pricing late last year
Inside the company that helped build China’s equity options market
Fintech firm Bachelier Technology on the challenges of creating a trading platform for China’s unique OTC derivatives market
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