Pricing
SpectrAxe fires up OTC FX options Clob
Go-live marks first electronic all-to-all venue for buy-siders trading the instruments
FX futures momentum challenges primary venues’ pricing role
Panellists suggest spot FX primary markets’ importance in models has “diminished”
BMO’s cloud migration strategy eases AI adoption
Canadian bank is beginning to roll out GenAI tool for internal use cases
Hedge funds’ pricing often trumps other buy-siders – SNB
Research shows “advantageous” prices result in outperformance of 139bp trading USD/CHF
Softer FX rules for China QFIs set to boost CNY competition
Freedom to circumvent local custodians a plus for pricing and best execution – State Street
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
How banks are adapting to all-powerful pod funds
Growth of multi-manager funds such as Citadel, Millennium and Balyasny has forced dealers to switch tactics in attempt to preserve profits
Deutsche Börse building equities dark pool
Move comes hot on heels of Euronext launching its own dark pool
Driving a modern operational resilience program
Strengthen your operational resilience processes, meet pertinent regulatory requirements in this space, and enhance business continuity practices with the help of high-performance GRC technology.
Quarter-ends add $184bn to FX swap costs, study finds
Academics observe 36% increase in bid/ask spreads in short-tenor liquid currency pairs at quarter-end
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Buy side unconvinced of corporate bond streaming benefits
Managers see limited utility of streamed prices in the once OTC-only asset class
SEC criticised for belt-and-braces ban on volume-based pricing
Legal experts question need for rules to prevent firms disguising agency trades as proprietary
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
SEC contradicts itself on exchange pricing, say firms
Cboe warns ban on volume-based rebates will not improve pricing for investors
Hedging of financial derivative contracts via Monte Carlo tree search
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction
Crypto: too important to ignore
This WatersTechnology rapid read survey report examines the crypto finance priorities of institutional investors, how far along they are on their crypto journeys, the challenges in entering and participating in this market, and what they value most when…
The importance of data-driven decision-making in Asia-Pacific
Embracing data-driven decision-making enabled by digital technologies is crucial for the success of lending institutions in the Asia-Pacific (Apac) region.
Apac banks put trust in pre‑trade
Amid tougher trading conditions, Apac banks are making greater use of pre‑trade analytics to inform their strategies and reduce risk. But how successful are these tools?
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been a constant change within the landscape of financial reporting, and IFRS 9 has been proven to be a critical component.
Adapting to economic uncertainty: Internal audit's journey
In this report, internal auditors in different sectors have shared their experiences and strategies, providing valuable insights for others facing similar challenges.
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented