Hedging
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Pricing barrier options with deep backward stochastic differential equation methods
This paper presents a novel and direct approach to solving boundary- and final-value problems, corresponding to barrier options, using forward pathwise deep learning and forward–backward stochastic differential equations.
Volatile HSCEI spells vega misery for autocall issuers
Index in ‘peak vega’ peril despite Wednesday's 12.5% rebound
Podcast: Hans Buehler on the data science behind deep hedging
Top JP Morgan quant stresses importance of ‘de-trending’ training datasets used in machine learning
Ruble NDF pricing rupture alarms traders
Conflict sparks big dislocation between ruble NDF and spot, threatening hedges and clouding valuations
Banks strive for machine learning at quantum speed
Embryonic work on quantum neural networks raises hope of faster, more accurate models
Traders turn to ruble NDFs to avoid sanctions trouble
Basis between physical and non-deliverable trades hits record high as users shun local currency
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust
Derivatives exposures up 26% at BP
Oil giant posts fourth consecutive yearly increase in 2021
How do you solve a problem like the lira?
Asset managers diverge in their approach to managing Turkish currency turmoil as FX hedging costs soar
Shell derivatives exposure rose by $15bn in 2021
Over 93% of the oil giant’s derivatives instruments were designated as current
UK Treasury urged to allow failed energy firms to hedge
Bulb can’t buy wholesale electricity and gas more than two weeks in advance, leaving it exposed to price hikes
Fears over strong dollar put Asia’s hedgers on edge
Local corporates look to manage US dollar exposures in response to inflation and Fed tapering concerns
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
Dynamically controlled kernel estimation
An accurate data-driven and model-agnostic method to compute conditional expectations is presented
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Top 5 trends to watch in 2022
1. Individual investor initiative 2. ESG investing 3. Hedging China risk 4. Digitisation and cryptocurrency 5. Futurisation
Trends shaping investment in Asia
As several new trends impact investment in Asia, Randolf Roth and Mezhgan Qabool discuss how Eurex is catering to the evolving needs of market participants and what it sees happening next
Hedging specialists vie for swelling FX overlay business
Custodians, banks and others look to capitalise on trend for buy side to outsource currency hedging
Swaps between UK banks and foreign firms up in Q3
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose