Asia Risk - 2009-03-01

Sovereign hedging lessons

The big oil-hedging losses at Sri Lankan state-owned refiner Ceylon Petroleum Corporation provide another salutary lesson in the proper use of derivatives. Is the situation reflective of state-owned energy companies as a group? By Joe Marsh

Rates squared

Vladimir Piterbarg introduces a conveniently parameterised class of multi-factor quadratic Gaussian models, develops calibration formulas and explains the advantages of this class of models over alternatives currently available for the pricing and risk…