Pricing
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
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Choppy markets revive quest for RFQ’s ‘magic number’
Deutsche argues for smaller, stronger panels; Citi offers better prices for 'full amount' trades
Quantifying model performance
Quality of replicating portfolio is used to measure performance of a model
Structured products are lost in translation post-Libor
Benchmark shift would “fundamentally transform” popular rates structures, users fear
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Podcast: Kaminski and Ronn on negative oil and options pricing
The market is gravitating to the Bachelier model as an alternative to Black 76
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
Discounting delay risks swaptions mess – Eurex
Swaptions hurdles seen as yet another reason to keep June €STR switch date
Fee fight: dealers take aim at brokerage costs
Old tensions have new edge as banks urge clients to bypass platforms
EU bank clients pressed for better trade terms in 2019
Hedge funds saw price and non-price conditions tighten in Q4
The corporate bond revolution will be streamed
Dealers are piping feeds of live, executable prices direct to select clients
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
The impact of the cross-shareholding network on extreme price movements: evidence from China
By using information about the ownership structure of listed companies from 2004 to 2016, the authors construct the cross-shareholding network for each year and examine the effects of the network position of a firm on extreme price movement.
Cyber risk management: an actuarial point of view
This paper points out the peculiarities of cyber insurance contracts compared with the classical nonlife insurance contracts from both the insurer’s and the insured’s perspectives. The main actuarial principles that are fundamental to any valuation in a…
Upgrade to derivatives system dents trading revenue at TD
Real-time mark-to-market of portfolio should cut trading revenue volatility in future