Derivatives
JP Morgan turns to machine learning for options hedging
New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
Beyond Markowitz with quantum annealing
Venturelli and Kondratyev use quantum annealers to optimise portfolios
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
LCH plans major forex clearing expansion
CCP to tackle cash-settled options, deliverable swaps and standalone service for deliverable forwards
Isda’s CDS fix draws murmurs of dissent
Proposed changes don’t go far enough for some; others say it will block legitimate activity
As China bonds go global, dealers size up demand for swaps
China’s onshore derivatives market must grow quickly to meet the hedging needs of foreign investors
Brexit fear drives futures trades out of London
Transitions via FIA protocol have escalated since January as no-deal concerns mount
Jumbo SOFR swaps herald new world of repo betting
Swaps traders told to “learn repo market dynamics” as market catches glimpse of new trading strategy
Dealers suffer in euro rates desert
Analysis shows collapse in swap and bond bid/offer spreads, as traders say business is “unsustainable”
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
DE Shaw rebukes Giancarlo’s big idea on Sefs
Hedge fund endorses electronic trading, as CFTC pushes for a return to old phone-based business
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
Investors bemoan Mifid II best-ex failings
Lack of consistency in data provided by trading venues undermines transparency drive
A buy-side swaps order book – with a difference
First client joins Trad-X Clob as dealers get nervy about large-scale RFQs
Doing well by doing good
Drug approval swaps and megafunds can channel capital towards world’s greatest problems, writes MIT’s Lo
Hedge fund giants lead fourth wave of IM candidates
BlueCrest, Capula, Citadel, Millennium and Rokos expected to be in scope for next phase of margin rules