Swaption
Industry renews push for triBalance clearing exemption
Dealers using Emir review to request carve-out for optimisation trades
A nonparametric local volatility model for swaptions smile
This paper proposes a nonparametric local volatility Cheyette model and applies it to pricing interest rate swaptions.
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Formosas, the Fed, and the billion-dollar Bermudan trade
Rates options desks on alert as decline in Formosa bond issuance could hit profits and raise US volatility
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Banks and clients clash over novation MVA charges
Some banks swallowing new margin funding costs, others forcing clients to pay up
Smile with the Gaussian term structure model
This paper presents a natural extension of the LGM that keeps the affine structure and generates an implied volatility smile.
LCH targets non-cleared market with radical new platform
Bilateral trades would be valued and margined using LCH swap curves
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Banks prepare for bumpy ride as margin deadline looms
Banks and funds may have limited set of counterparties on September 1
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
Barclays taps blockchain for equity swaps, options, swaptions
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
Banks save €3.5bn in swaptions compression drive
Capitalab removes €1.3 trillion notional, cutting capital requirements
CME set to launch swaptions clearing in Q2
Uncleared margin rules the driver; may also impact CME-LCH basis
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
Volatility mispricing ripe source of profits, says Malachite
Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
No flash crash: Paulson, Pimco and the US Treasury meltdown
Market’s big beasts played a part in wild and weird October 15 volatility
CME faces questions over pending swaptions service
Dealers query risk management, valuation and default management