Variation margin

WHAT IS THIS? Variation margin is a payment – typically made daily, in cash – to reflect changes in the market value of a trade, or portfolio of trades. In over-the-counter derivatives markets, variation margin is traditionally seen as a buffer against counterparty default; in listed derivatives, it is treated as settlement.

Path-dependent American options

In this paper, the authors investigate a path-dependent American option problem and provide an efficient and implementable numerical scheme for the solution of its associated path-dependent variational inequality.

Preparing for the initial margin phase-in

Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…

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