Option pricing
Stochastic volatility’s orderly smiles
Stochastic volatility’s orderly smiles
Sponsored statement: Ito33
Which model for equity derivatives?
Downgrade termination costs
Downgrade termination costs
Need for speed: banks explore FPGAs for portfolio modelling
The gate array way
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Perturbed Gaussian copula: introducing the skew effect in co-dependence
Being particular about calibration
Following previous work on the calibration of multi-factor local stochastic volatility models to market smiles, Julien Guyon and Pierre Henry-Labordère show how to calibrate exactly any such model. Their approach, based on McKean’s particle method,…
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation
Quants' golden age
Pricing, Basel, Paulson & Co: the top stories of 2011 so far
A review of the top Risk.net stories during the first half of 2011
Repricing the cross smile: an analytic joint density
Repricing the cross smile: an analytic joint density
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Stressed in Monte Carlo
Stressed in Monte Carlo
Volatility interpolation
Volatility interpolation
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Isda working group to draw up new, standardised CSA
Derivatives market set for shake-up as confusion over how to price multi-currency CSA trades drives a push towards a standardised collateral agreement
Choice of collateral currency
Collateral agreements are becoming popular in the over-the-counter derivatives market. Masaaki Fujii and Akihiko Takahashi demonstrate its significant impact on derivatives pricing with a direct link to the cross-currency market. The importance of…
Choice of collateral currency
Choice of collateral currency
Trade of the month: Digital payoffs
Digital options lead to two outcomes and are most commonly used with capital protected structured products.
Correlations in asynchronous markets
Correlations in asynchronous markets
US inflation options sponsored forum: Recovery and development
The inflation market has had a challenging few months. In particular, many dealers were hurt by short positions in 0% inflation floors, causing sizeable losses for some firms. Sponsored by BGC Partners, Risk convened a panel of major inflation dealers in…
Sponsored statement: The problems with generally used interpolation spaces
In a world increasingly focused on effective enterprise-level risk management, there are notable discrepancies in volatility management techniques. Murex proposes a cross-asset interpolation space with potentially significant risk management impacts
The inflation pricing conundrum
Fear of a spike in consumer prices has created greater demand for inflation protection from a variety of participants. This has increased the need for inflation pricing and analytics tools – but it is not as simple as tweaking existing models used for…