Pricing
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
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Plugging the leaks in skewed pricing
Liquidity recycling has made it trickier for LPs to identify information leakage
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
Shhh, don’t tell: the struggle to keep skew under wraps
Liquidity recycling by clients has made it more difficult for banks to keep skews quiet
EU’s late CDS transparency push triggers trader fears
Leaked proposal to shoehorn public disclosure of CDS into Mifir placates Esma, but alarms traders
Dora ‘critical tech vendor’ designation could cast a wide net
Experts think cloud services, data providers and software firms are all in regulators’ sights
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
SG1 growth slower than expected, say LPs
Despite sluggish take-up of Singapore FX matching engines, some hope a new NDF venue will offer a boost
It’s not easy being green: why the FX market is lagging on ESG
And what’s being done to fix it
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Illiquid assets throw UK pensions off balance
Collapse in equity and bond prices leaves some funds with outsized exposure to private holdings
Regional banks beef up FX pricing tools
TraderTools’ PriceOn tech enables regional banks to internalise FX flows similar to top-tier dealers
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Quant house of the year: Crédit Agricole CIB
Asia Risk Awards 2022
XVA solution of the year: Murex
Asia Risk Awards 2022
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities