Pricing
TriOptima adds MVA calculations to XVA service
Three firms have signed up to use the tool, which calculates MVA across 100,000 scenarios
Stability ahead? Oil prices to tighten as expectations wane
Forecast suggests drop in crude volatility in months ahead
INE oil future to launch ‘as soon as possible’ – CSRC
China's first oil future is still on the cards, but its viability as a new benchmark is far from certain
Brent evolves to retain lustre
Introduction of Troll marks attempt to keep Brent as benchmark of choice
Efficient pricing and super-replication of corridor variance swaps and related products
This paper proposes a method for overhedging weighted variance using only a finite number of maturities.