In this paper, the author describes a simple adaptive Filon method that performs better and more accurately than various popular alternatives for pricing options under the Heston model.
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
As rates rise and trade tensions grow, CCPs must be prepared for higher volatility
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
Attention turns to long-dated positions after failed no-confidence vote
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
New approach delivers quick and accurate computation of prices
BNP Paribas wins derivatives house; lifetime award for Craig Broderick; CME takes clearing house award
BNP Paribas takes Derivatives house, BP wins Oil & products and BOCI and Engie scoop two awards each
VAR-based capital requirements fell 7% on average across the eight G-Sibs
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
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…
Surging volume and rising leverage expose issuers to gap risk on hedges
Python is rapidly becoming the world’s most popular programming language and its versatility and ease of use has enabled it to achieve widespread adoption in finance, becoming the multipurpose tool of choice for quantitative analysts and other financial…
While the benefits of the information revolution are clear, the risks it brings should not be underestimated, says Andrew Lo
Firm says conventional investing wisdom is missing out on alpha
Efforts to improve clearing and settlement of US government debt – and oversight of who trades it – still incomplete
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Extreme volatility makes products an unreliable store of value – for now