Convexity
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Tail protection for long investors: trend convexity at work
In this paper, the authors show that single-asset trend strategies have built-in convexity, provided their returns are aggregated over the right time scale, ie, that of the trend filter.
An enterprise perspective of performance attribution: introducing the keel model
In this paper, performance attribution is extended to an enterprise level based on the keel model. The keel model introduced here is applied to the problem of attributing enterprise value changes to various risk factors.
Trump victory: market whipsaw could spell exotics losses
Seesawing markets prompt speculation of big losses for structured product issuers
LDI funds cool on zero-coupon swaps as price jumps
Clients complain of six-fold hike after rates volatility hits dealers' par swap hedges
Futures vs FRAs inversion baffles market participants
Futures rates should always exceed those of the corresponding forward rate agreement, finance theory states. So why did the Euribor markets contradict this in May, with a so-called negative convexity adjustment? Laurie Carver reports
Collateral convexity complexity
Collateral convexity complexity
Viva Las Vega: Japan banks take advantage of volatility play
Viva Las Vega!
Quadratic Gaussian inflation
Quadratic Gaussian inflation
Stressed VAR will hit forex options, dealers warn
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
CMS: covering all bases
CMS: covering all bases
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
CMS: covering all bases
CMS: covering all bases
Margin minutiae at issue in Jefferies v IDCG suit
Mire in margin minutiae
Smiling at convexity
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities…
Forward CMS rate adjustment
Constant maturity products