Power-reverse dual currency (PRDC)
Quantization-based Bermudan option pricing in the foreign exchange world
This paper proposes two numerical solutions based on product optimal quantization for the pricing of Bermudan options on foreign exchange rates.
Japan PRDCs stage a comeback on yen depreciation
Revival in power reverse dual currency notes thanks to Abenomic policies
The ultimate stress-test: modelling the next liquidity crisis
What would happen if one of the world's largest investment banks pulled out of derivatives? Risk managers at Deutsche Bank and JP Morgan Chase are already building this scenario into their stress-tests, and regulators want other banks to do the same.