New valuation adjustment may lead to more efficient management of derivatives books
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Transaction costs’ impact on hedging can now be quantified
A measure for crowding in trades is derived from supply and demand imbalances
Risk Live: At some banks, 70% of spot is now traded via bilateral feeds
Risk Live: Repo with buy side should incur different leverage ratio, suggests big asset manager
Funds are embracing stress-testing, and swing pricing, after “a real liquidity crisis” in March
Deutsche argues for smaller, stronger panels; Citi offers better prices for 'full amount' trades
We present an approach for pricing European call options in the presence of proportional transaction costs, when the stock price follows a general exponential Lévy process.
UK and EU investors may be forced to trade dozens of shares on less liquid exchanges, analysis shows
In this paper, the authors investigate a nonlinear generalization of the Black–Scholes equation for pricing American-style call options, where the volatility term may depend on both the underlying asset price and the Gamma of the option.
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
Quants are embracing the idea of ‘model free’ pricing and hedging
Quant says a new machine learning technique could change the way banks hedge derivatives
The latest online early paper in our special issue on blockchain enabled energy markets
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
This paper discusses and derives the extremum of the expectation of permanent impact and realized impact by constructing several special trading trajectories in the Chinese market.
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Risk Awards 2018: Cost analysis service set to expand into rates next year, after transforming forex
MSCI’s historical real-time data could be used in backtesting strategies, pricing exotic options
This paper considers the problem of European option pricing in the presence of a proportional transaction cost when the price of the underlying follows a jump–diffusion process.
Bouchaud et al find the optimal trading strategy for a family of predictive signals in the presence of transaction costs