Interest rate options
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
Small banks face rate options valuation model change
Negative rates causing pricing model rethink
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Interest rate derivatives under jump-extended short-rate models have commonly been valued using lattice methods. This paper proposes a much faster and more accurate valuation method based on partial integrodifferential equations.
French life insurers face lapse risk hedging problems
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry’s traditional hedge for this risk now too pricey,…
SABR spreads its wings
SABR spreads its wings
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
Cutting Edge introduction: Continuity error
Continuity error
CaixaBank revels in the end of the deposit wars
To Euribor and back
Cutting Edge introduction: SABR rattling
SABR rattling
Negative rates: Dealers struggle to price 0% floors
Going negative
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Sponsored statement: Société Générale Corporate & Investment Banking
Looking both ways
Black smirks
Fei Zhou presents a simple stochastic volatility extension of the Black interest rate option pricing model widely used by traders. Using a perturbative expansion in volatility of volatility, he derives modified Black formulas that correctly fit the…