Foreign exchange
The vanna-volga method for implied volatilities
Cutting Edge - Option pricing
The intrinsic currency valuation framework
Introducing the concept of the intrinsic value of a currency, Paul Doust shows how to use foreign exchange market volatilities to calculate the volatilities of intrinsic currency values and the correlations between them
The vanna-volga method for implied volatilities
Option pricing
Refco faces more woes as FX unit sale falls through
Bankrupt financial services group Refco has failed to sell its foreign exchange brokerage, and its securities broking arm has been ordered to pay $122 million compensation to a Russian customer.
A Five-Year Plan
In an ambitious project, HVB Americas is cutting trade exceptions, consolidating its data warehouse and automating a raft of manual processes.
Derivatives dealers focus on mid-caps
Derivatives dealers are focusing more on mid-cap corporates this year as an alternative to the arguably over-banked blue chip companies, say some market participants.
BoA makes London rates hire
Bank of America (BoA) has hired Nicholas Dechosal, former head of derivatives, short-term interest rates and forwards trading at Rabobank Utrecht, in London.
Collins Stewart merges G-7 currency options desks
Collins Stewart Tullett has merged the Group of Seven currency options desks of its Tullett Liberty and Prebon Yamane subsidiaries in London and Asia.
HSBC provides clients with forex charting tools
HSBC has begun rolling out a web-based currency data charting application from UK vendor TraderMade to its corporate and investment clients. The application, called FX Charting, will support trading and hedging strategy decisions.
AIB repays €26m for overcharging
Allied Irish Banks (AIB) said it is repaying €26 million ($32 million) it overcharged clients on three million FX deals, after a regulator slammed the bank in a report last week.
Dealing with a dwindling dollar
Corporates
Personal FX
Private banking
Expressing a view on the dollar
Currency focus
The road to online options
Electronic forex
Take your positions
Introduction
IASB to create advisory group
The International Accounting Standards Board (IASB) is investigating the establishment of an advisory forum, following comments from euro official Frits Bolkestein last month that standards for the treatment of derivatives are still unsuitable for…
NAB revises FX options losses to A$360 million
National Australia Bank (NAB) has revised its pre-tax losses arising from unauthorised foreign exchange options trading to A$360 million ($277.4 million), double last week's initial estimate.
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.
State Street’s Snyder named head of forex trade body
Mark Snyder, US bank State Street’s global head of currency and money market sales and trading, has been appointed chairman of the Foreign Exchange Committee, a trade body.
Calculating transfer risk using Monte Carlo
Marco van der Burgt constructs a model of emerging market transfer risk based on a country’s foreign exchange reserves that is combined with facility-dependent risk factors that determine counterparty exposure in the event of a moratorium. He then…
FSA warns of treasury management flaws
LONDON - The Financial Services Authority, the UK regulatory body, has highlighted key areas of weakness in UK treasury management following a survey of banks and building societies.
Philippines SEC drafts FX reporting guidelines
PHILIPPINES - The Philippines' Securities and Exchange Commission (SEC) last week announced draft guidelines on the preparation of foreign currency-denominated financial statements for corporations in the country.
Pay attention to interest
Masterclass – with JP Morgan