Swaptions
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Tradition and Tullett Prebon draw fire in Sef volumes flap
Market is split on how to report volumes for multi-legged trades
SABR symmetry
SABR symmetry
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
CME finalising plans for swaptions clearing
Swaptions said to have passed CME’s risk committee, and may now be included in CME Clearing Europe’s application to Esma for reauthorisation
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
Expanded forward volatility
Expanded forward volatility
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
The basis goes stochastic
The basis goes stochastic
Negative rates: Dealers struggle to price 0% floors
Going negative
Interest rate derivatives house of the year: Deutsche Bank
Risk awards 2012
General short-rate analytics
General short-rate analytics
CFTC trade rules will create 'winner's curse'
Analysts at Barclays Capital say block trade reporting rules under Dodd-Frank Act will create additional risk for dealers
Pension fund risk manager of the year: Pension Protection Fund
Risk awards 2011
Hedging spurs growth in credit swaptions
Market jitters and lower bid/offer spreads promote growth in credit swaptions
A Libor market model with a stochastic basis
A Libor market model with a stochastic basis
Interest rates house
Structured Products Europe Awards 2010
Post-shock short-rate pricing
Post-shock short-rate pricing
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed…
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed…