Currency options
Smiling hybrids
Vladimir Piterbarg develops a multi-currency model with foreign exchange skew suitable for valuation and risk management of forex-linked hybrids, in particular power-reverse dual-currency swaps. The emphasis of the article is on model calibration to…
Australian regulatory body to investigate risk management controls at NAB
The Australia Prudential Regulatory Authority (APRA) is launching an investigation into the risk management controls at National Australia Bank's (NAB) treasury division.
Selling risk at a premium
Option strategies