Options
Pricing and hedging options with rollover parameters
This paper consists of a “horse race” study comparing (i) a number of option pricing models, and (ii) roll-over estimation procedures.
What financialisation means for oil: Ilia Bouchouev of Koch
Investor demand now drives oil prices as much as physical fundamentals
People moves: Citi axes second Asia-Pac clearing head in 18 months
Deutsche loses Asia head of global markets; StanChart hires HK chief; new Singapore head for Credit Suisse; and others
IFRS 9 expected to boost options with corporates
New rules limit options volatility in P&L; some hedgers already taking advantage, banks claim
China FX forward rules set to boost renminbi options market
PBoC extends reserve requirements on onshore forwards to foreign banks
Bond funds use derivatives to buy time for bargain hunting
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Shanghai to be first CCP to clear forex options
New service to debut in August, but liquidity risk has stalled other CCPs
‘Lottery ticket’ call options saw big losses on Brexit
Emerging market trades dropped more than 80% after 'leave' vote
Banks ‘hurting, but not dead’ after Brexit shock
Last-gasp hedges may have eased the pain of Brexit for some banks
Brexit hedging leaves Ficc books unbalanced
Market-making desks struggling to recycle some client flows ahead of referendum
Valuation of options on discretely sampled variance: a general analytic approximation
In this paper the authors provide a comprehensive treatment of the discretization effect under general stochastic volatility dynamics.
Barclays taps blockchain for equity swaps, options, swaptions
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
Ex-Citi oil options head enjoys the hedge fund life
GZC’s Elbhar rode oil spread trade to 40% annual return in 2015
Industry slams EU equity derivatives disclosure proposals
"The rules are based on assumptions that are incorrect," says Isda
LME Clear ‘welcomes scrutiny’ of CCP risk management
Oversight from clearing members is good for central counterparties, says LME Clear CEO
Dealers turn to structured products for LCR relief
Liquidity options for tackling Basel-mandated LCR come of age
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Cutting edge introduction: Monetising out-of-the-money
Out-of-the-money options contain a hidden premium, says one quant
Isolating a risk premium on the volatility of volatility
Lorenzo Ravagli shows how to exploit a risk premium embedded in the vol of vol in out-of-the-money options
EU members of US options CCP face $30bn capital hit
OCC fears approval will be held up by absence of SEC clearing rules
Trading book QIS: residual risk is 'killing everybody'
Residual risk add-on more broadly applicable than first thought under Basel rules
On the application of spectral filters in a Fourier option pricing technique
When dealing with nonsmooth functions – such as a combination of a nonsmooth density and a payoff – spectral filters can be applied to deal efficiently with the so-called Gibbs phenomenon. The simplicity and effectiveness of classical filtering…
Corporates use XVA caps to limit unwind charges
Veolia caps CVA and FVA unwind costs in trades with 10 banks
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment