Pricing
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Quant house of the year: Crédit Agricole CIB
Asia Risk Awards 2022
XVA solution of the year: Murex
Asia Risk Awards 2022
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
‘Repo by the minute’ could reshape lending – but not quite yet
Blockchain-based platforms from JP Morgan and Broadridge offer smart contracts that enable intraday repo
Repo haircuts and economic capital: a theory of repo pricing
The author proposes a repo haircut model that will identify capital for repo default risk as the main driver of repo spreads and allow investors to settle at an optimal combination of the haircut and repo rate.
The contractual dividend bleed
Models for dividend protected options need to compensate for valuation mismatches
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Semi-analytic conditional expectations
A data-driven approach to computing expectations for the pricing and hedging of exotics
Pricing data is key to unlocking FX swaps e-trading
Digitec’s Stephan von Massenbach on why automation is needed for e-trading to reach its potential
Banks adopt Python for faster XVA data analysis and pricing
Some banks claim the coding language permits XVA pricing in milliseconds
Funds forced to estimate value of Russian securities
Western asset managers can sell Russian shares from April 1. But they have to value them by March 31
Is factor momentum greater than stock momentum?
Is factor momentum greater than stock momentum? Yes – this paper argues – but only at short lags.
Banks strive for machine learning at quantum speed
Embryonic work on quantum neural networks raises hope of faster, more accurate models
For OTC derivatives, the pricing (still) isn’t right
Financial instrument expert Dirk Schubert on how post-GFC rules have caused prices and valuations to diverge
Markets Technology Awards 2022 winners' review
The Markets Technology Awards were as fiercely contested as ever this year, a testament to the volume, strength and variety of technology firms playing a key role in today’s markets
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
Private companies ‘lack data transparency’
Investors held back over issues around data quality and availability
Optimal transport for model calibration
Volatility models and SPX/VIX joint dynamics are calibrated using optimal transport theory