Pricing
Climate intelligence: today and the future
This IDC Market Perspective covers the dynamics of the rapidly evolving AI and machine learning climate intelligence market.
Funds forced to estimate value of Russian securities
Western asset managers can sell Russian shares from April 1. But they have to value them by March 31
Is factor momentum greater than stock momentum?
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Banks strive for machine learning at quantum speed
Embryonic work on quantum neural networks raises hope of faster, more accurate models
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead
Building artificial intelligence in credit risk: a commercial lending perspective
This white paper provides a contemporary look at what AI and machine learning adoption could mean for commercial lending and credit risk assessments
For OTC derivatives, the pricing (still) isn’t right
Financial instrument expert Dirk Schubert on how post-GFC rules have caused prices and valuations to diverge
Markets Technology Awards 2022 winners' review
The Markets Technology Awards were as fiercely contested as ever this year, a testament to the volume, strength and variety of technology firms playing a key role in today’s markets
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Outrunning risk with cloud
Supercharged risks are running circles around banking risk models. Here’s how the cloud can keep you one step ahead
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
Private companies ‘lack data transparency’
Investors held back over issues around data quality and availability
Cryptocurrency regulation summary: 2022 edition
An analyst report summarising global regulatory guidelines surrounding the trading and issuing of crypto assets around the world
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Currenex lawyers ask judge to dismiss class action lawsuit
Case alleging secret priority trading deals brought too late and not based on facts, defence argue
Last look add-on is disappearing. Is that good for the market?
Views diverge on whether removal of additional hold times will benefit FX liquidity consumers
Big data challenges: unlocking opportunities for banks to rethink their data structures
Revisions to banks’ mandatory capital requirement regulations, to be implemented in a few jurisdictions in January 2023 and globally in 2024, will present these institutions with a massive challenge as the volumes of data they must manage and analyse…
No fair: buy side takes on pricing problem in FX forwards
Interest in TCA is growing as new data sources offer glimpse into murky swaps and forwards market
EU consolidated bond tape could boost all-to-all trading
Greater confidence in pricing may also have eased Covid liquidity crunch, says Dimensional exec
Pricing and trading system of the year: Murex
Asia Risk Awards 2021
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