Cross-gamma
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
CVA desks suffer Brexit double whammy
Cross-gamma losses estimated at more than $25m for each dealer
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
Sponsored statement: Goldman Sachs
Wrong-way CVA done right
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Now you PRDC them...
Power-reverse dual-currency notes proved a bonanza for dealers when markets were tame, but risk-managing the product has become a drain on resources and cash in recent years. As a result, some firms have decided to exit the market. Mark Pengelly…
Operational and market risks of a regulated power utility
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.