Pricing
Pricing share buy-backs: an alternative to optimal control
A new method applies optimised heuristic strategies to maximise share buy-back contracts’ value
CP+ unveiled: accurate, real-time pricing for global credit and rates markets
Bond markets lack transparency, making it difficult for investors to value bonds and compare prices. This can lead to overpaying or missed opportunities. CP+, a real-time pricing tool for bonds, addressees these challenges by offering data on more than…
FX automation plans focus on predictive analytics – panel
Panellists suggest banks could explore AI tools for foreign exchange pricing
Price sensitive: maximising value from IPV data and valuation control
A webinar assessing the changing demands of IPV and valuation control as part of a robust risk management strategy, and how banks can ensure data quality and compliance in the future
SpectrAxe fires up OTC FX options Clob
Go-live marks first electronic all-to-all venue for buy-siders trading the instruments
FX futures momentum challenges primary venues’ pricing role
Panellists suggest spot FX primary markets’ importance in models has “diminished”
BMO’s cloud migration strategy eases AI adoption
Canadian bank is beginning to roll out GenAI tool for internal use cases
Hedge funds’ pricing often trumps other buy-siders – SNB
Research shows “advantageous” prices result in outperformance of 139bp trading USD/CHF
Softer FX rules for China QFIs set to boost CNY competition
Freedom to circumvent local custodians a plus for pricing and best execution – State Street
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
How banks are adapting to all-powerful pod funds
Growth of multi-manager funds such as Citadel, Millennium and Balyasny has forced dealers to switch tactics in attempt to preserve profits
Deutsche Börse building equities dark pool
Move comes hot on heels of Euronext launching its own dark pool
Quarter-ends add $184bn to FX swap costs, study finds
Academics observe 36% increase in bid/ask spreads in short-tenor liquid currency pairs at quarter-end
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
The cost of mis-specifying price impact
Expected returns can be significantly affected by the wrong use of impact models
Buy side unconvinced of corporate bond streaming benefits
Managers see limited utility of streamed prices in the once OTC-only asset class
SEC criticised for belt-and-braces ban on volume-based pricing
Legal experts question need for rules to prevent firms disguising agency trades as proprietary
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
SEC contradicts itself on exchange pricing, say firms
Cboe warns ban on volume-based rebates will not improve pricing for investors
Hedging of financial derivative contracts via Monte Carlo tree search
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction