Pricing
Price sensitive: maximising value from IPV data and valuation control
A webinar assessing the changing demands of IPV and valuation control as part of a robust risk management strategy, and how banks can ensure data quality and compliance in the future
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
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
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Dora ‘critical tech vendor’ designation could cast a wide net
Experts think cloud services, data providers and software firms are all in regulators’ sights