Pricing
Pricing American options under negative rates
This paper derives a new integral equation for American options under negative rates and shows how to solve this new equation through modifications to the modern and efficient algorithm of Andersen and Lake.
Risky caplet pricing with backward-looking rates
The Hull-White model for short rates is extended to include compounded rates and credit risk
Lacima’s models stand the test of major risk events
Lacima’s consistent approach between trading and risk has allowed it to dominate the enterprise risk software analytics and metrics categories for nearly a decade
The need for share data as firms invest in large volumes of equities internationally
Russell Ironside, pricing and reference services propositions manager at Refinitiv, discusses what is driving the need for more data in the area of shareholding disclosure
A Darwinian theory of model risk
An ex ante methodology is proposed to analyse the model risk pattern for a broad class of structures
Deep XVAs and the promise of super-fast pricing
Intelligent robots can value complex derivatives in minutes rather than hours
Invesco bets on new tech to refine its FX trading
Home-grown tool will improve order routing and execution strategies, asset manager believes
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Deutsche Börse eyes quantum computing
Pilot application to model enterprise risks cuts computation time from 10 years to 30 minutes
OTC FX options market gears up for faster electronification
Share of electronic trading remains low but host of factors promise to change that for good
CanDeal ideal: could Canada make a sea-change in e-trading?
E-trading firm aims to capture all Canada’s electronic fixed income trade, requiring a culture shift
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
End ‘senseless’ ban on midpoint trading, asset managers urge
Investors decry European rule that forces them to trade some equities in whole tick sizes
Solving final value problems with deep learning
Pricing vanilla and exotic options with a deep learning approach for PDEs
Union beckons for the three quant tribes
Studies may be deferred, but future for grads is bright, argues UBS’s Gordon Lee
Time for the next-generation investment book of record – Eidos
Calypso Technologies’ end-to-end Ibor, decision and order support (Eidos) is the only effective and efficient way to bring together suppliers and consumers of enterprise investment data
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
A step closer to the perfect volatility model
Research on ‘rough volatility’ gives fresh insight into financial fluctuations, quant expert explains
Bilateral streams slash FX trading costs by 80%, dealers claim
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Whales or minnows? Sizing up crowded trades
Strategies for measuring crowding in trades can help to avoid its effect, writes quant fund founder
Differential machine learning: the shape of things to come
A derivative pricing approximation method using neural networks and AAD speeds up calculations
Asia quant house of the year: UBS
Asia Risk Awards 2020