Derivatives pricing
Pricing and hedging variance swaps on a swap rate
A pricing tool for fixed-income volatility products is introduced
KVA: capital valuation adjustment by replication
KVA are introduced to take into account the effect of capital on funding
Risk-neutral pricing – Hull and White debate Kenyon and Green
XVA specialists spark debate on regulation and risk-neutrality
Path-dependent volatility
Julien Guyon on path-dependent volatility models
Hedge funds seek third-party Emir valuations
Delegating Emir reporting may cause more problems than it solves
Regulatory costs break risk neutrality
Regulations impose idiosyncratic capital and funding costs for holding derivatives. Idiosyncratic costs mean that no single measure makes derivatives martingales for all market participants. Chris Kenyon and Andrew Green demonstrate that regulatory…
Adapt and thrive: How Numerix evolved beyond pricing and analytics to become a leader in risk
Sponsored feature: Numerix
SABR symmetry
SABR symmetry
Differential rates, differential prices
Differential rates, differential prices
Cutting Edge introduction: fixing FVA
The funding valuation adjustment (FVA) is the biggest controversy of recent times in quantitative finance. Now the authors of the original FVA paper are back – and think there may be a solution. Laurie Carver introduces this month’s technical articles
ROE hurdles cause pricing impasse
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide them…
Time for a timer
Time for a timer
Stuck with collateral
Stuck with collateral
The CCP price: users fear modelling mishaps
The CCP price
The downgrade trigger trap
Trigger trap
Introducing the XVA desk - a treasurer's nightmare
Grand centralisation
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Reconciliation + regulation = complication
Incoming rules on portfolio reconciliation could encourage many derivatives users to outsource the process. But it’s not a simple short cut, warn Mike Pierides and Alistair Charleton of Pillsbury Winthrop Shaw Pittman
Applied risk management series: OTC commodity swaps valuation, hedging and trading
OTC commodity swaps valuation, hedging and trading
Sponsored video – OIS discounting for derivatives
Calypso’s David Kelly talks about some of the challenges posed by the OIS discounting of derivatives transactions
The FVA debate continues: Hull and White respond to their critics
The FVA debate continues
Quadratic Gaussian inflation
Quadratic Gaussian inflation
In defence of FVA – a response to Hull and White
In defence of FVA