Swaption
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
Bank disruptors: Crédit Ag taps AI to lure swaptions business
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
One-dimensional Markov-functional models driven by a non-Gaussian driver
The aim of this paper is to move away from a Gaussian assumption and to provide new algorithms that can be used to implement a Markov-functional model driven by a more general class of one-dimensional diffusion processes.
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2020: US bank leads the way on SOFR, and gets creative to facilitate US insurer hedging
Derivatives house of the year: Bank of America
Risk Awards 2020: New home in Paris has brought more European clients to the Street’s most consistent markets franchise
Credit derivatives house of the year: Barclays
Risk Awards 2020: UK bank showed flow strength in Thomas Cook default – and product range is growing
Ice swap rate adds RFQ data; adopts Sonia
Industry backs overhaul of term swap rate to curb non-publication and hasten Libor switch
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
Chinese banks look at swaptions pricing
Switch to market rate for loans prompts lenders to explore hedging tools
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
CFTC frees amended legacy swaps from margin net
US no-action relief for compression-triggered replacement trades spurs hope for EU alignment
Evolution or extinction: Ice swap rate’s post-Libor quandary
Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market
Podcast: Mercurio and Henrard on the impact of Libor reform
Some derivatives products will become more complex if there are no forward rates, say quants
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties