Optimisation
The rapid evolution of compression: Keeping pace with optimisation activity
Sponsored forum: Capitalab
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
A risk-based approach to construct multi asset portfolio solutions
In this paper, the authors introduce an approach to cluster asset classes by correlation distance and then outline how these results can be used to design portfolios that are optimal in a group risk parity (GRP) framework.
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
Swaptions expiries complicate portfolio optimisation runs
triBalance and Quantile users call for better post-trade co-ordination between dealers
Optimising VAR and terminating Arnie-VAR
Albanese, Caenazzo and Syrkin show how full-revaluation VAR is more accurate and robust than sensitivity-based VAR measures
Industry renews push for triBalance clearing exemption
Dealers using Emir review to request carve-out for optimisation trades
A new nonlinear partial differential equation in finance and a method of its solution
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Effective collateral management strategies
Sponsored webinar: Calypso
Banks turn to synthetic derivatives to cut initial margin
Options-based instruments can halve initial margin for some non-cleared products, say dealers
Just six banks caught by phase two of IM regime
Four EU, one Japanese and one Australian bank to start posting initial margin on non-cleared trades from September
World Bank bets on compression for EM currencies
NY-based start-up LMRKTS gets backing to support illiquid markets
Statistical risk models
In this paper, the authors give complete algorithms and source code for constructing statistical risk models.
Optimal closing-price strategy: peculiarities and practicalities
The authors of this paper derive an optimal trading strategy that benchmarks the closing price in a mean–variance optimization framework.
Acceptability bounds for forward starting options using disciplined convex programming
The dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
Energy trading firms race to improve analytics capabilities
Surging availability of data lets firms with best market insight gain an edge
CTRM software house of the year: Allegro
Developer gained clients despite cutbacks in IT spending by energy firms
Banks work together in effort to reduce XVA costs
Dealers offer rewards to clients and rivals for help in cutting valuation adjustments
Calculation of a term structure power price equilibrium with ramping constraints
This paper proposes a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices.
SLADI: a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection–diffusion problems with application to electricity storage valuations
In this paper, an efficient and novel methodology for numerically solving advection–diffusion problems is presented.
The challenge of optimising physical energy assets
Sponsored webinar: OpenLink