Derivatives pricing
Banks use machine learning to ‘augment’ corporate sales
Big banks are embarking on massive projects to tie up machine learning and big data to sell better to clients
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
How banks can keep pace with XVA
The complexity of derivatives pricing has grown significantly in the past decade, with banks having to factor in a series of valuation adjustments to calculate the impact on their balance sheets. With budgets and resources under pressure, and traditional…
Quant drought hits banks and funds in Asia
Limited pool of talent hindering expansion of sophisticated strategies across buy and sell side
UK derivatives market arrests decline
Gross derivatives values grow £132 billion quarter to quarter
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
In this paper, the authors present a new approach to bounding financial derivative prices in regime-switching market models from both above and below.
How old calibration techniques can be applied to exotics pricing
SocGen quants propose technique to more accurately calibrate exotic options
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
UK bank derivative balances a mixed bag
Mark-to-market derivative balances with UK entities deteriorate; improve with non-UK firms
Rethinking XVA sensitivities – Making them universally achievable
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Reform fails to solve collateral woes in Korea
Korean swaps users wary of collateral reuse, leaving dealers with LCR burden
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
Buy side unimpressed with Mifid II cost transparency rules
Clients question value of receiving dealers’ swaps profit margin data
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Japan CVA shift may break local banks’ swaps stranglehold
Introduction of pricing adjustment could see foreign banks compete for corporate business
Variation margin relief sparks swaps pricing disputes
Banks divided over whether to price trades using current CSAs or theoretical new agreements
What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered