Arbitrage
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
Are cryptocurrencies cryptic or a source of arbitrage? A genetic algorithm approach
The authors identify triangular arbitrage trading opportunities through genetic algorithms in order to find insights into the volatility of cryptocurrencies and stablecoins with the largest market cap.
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
On the potential of arbitrage trading on the German intraday power market
The authors compare ex post arbitrage trading with pair-trading on the German intraday power market and how each method may be optimised.
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Obtaining arbitrage-free FX implied volatility by variational inference
An ML-based algorithm that provides implied volatilities from bid-ask prices is proposed
Boaz versus BlackRock: the fight over closed-end funds
Saba founder says he never planned to be an activist investor. Now he’s battling BlackRock – again
Locational arbitrage strategies for Shanghai crude futures
The authors investigate crude oil futures introduced on the Shanghai International Energy Exchange in March 2018 and the locational trading strategies they can provide and put forward an example of locational arbitrage hedged against foreign risk.
US insurance regulators move to kill CLO arbitrage
Capital charges on collateralised loan obligations will be model-based after 2024
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Relative value trades face Treasury clearing squeeze
SEC’s clearing proposals may hurt levered basis trades and worsen illiquidity in off-the-run bonds
Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
EU crypto rules would allow terra, just not as a stablecoin
Final laws set to prevent algorithmic coins from styling themselves as “stable”, says insider
Designed to fail: terra and the limits of arbitrage
Speculative ‘attack’ exposed fundamental flaws in crypto’s algorithmic stabilisation mechanism
Leaked EU doc shows pushback on cross-border trading ban
Member states propose loosening European Commission’s CRD draft to varying degrees
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
Blockade or blunder? Enigma of EU cross-border trading ban
Drafting errors and lawmaker’s comments leave industry perplexed about controversial new rules