Swaptions
Quant of the year: Alexandre Antonov
Numerix quant revolutionises negative rates modelling
Volatility mispricing ripe source of profits, says Malachite
Hedge fund thinks ETFs, Solvency II and capital ratios distort volatility markets
'Gamma trap' theory features in US Treasury meltdown report
Official post-mortem considers claims that options hedging amplified October 15 move
No flash crash: Paulson, Pimco and the US Treasury meltdown
Market’s big beasts played a part in wild and weird October 15 volatility
CME faces questions over pending swaptions service
Dealers query risk management, valuation and default management
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
CME swaptions clearing ready for November launch
Service is waiting for CFTC approval; dealers say they will approach with caution
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Tradition and Tullett Prebon draw fire in Sef volumes flap
Market is split on how to report volumes for multi-legged trades
SABR symmetry
SABR symmetry
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
CME finalising plans for swaptions clearing
Swaptions said to have passed CME’s risk committee, and may now be included in CME Clearing Europe’s application to Esma for reauthorisation
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
Expanded forward volatility
Expanded forward volatility
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
Cutting edge: Jamshidian decomposition for pricing European energy commodity swaptions
The basis goes stochastic
The basis goes stochastic
Negative rates: Dealers struggle to price 0% floors
Going negative
Interest rate derivatives house of the year: Deutsche Bank
Risk awards 2012
General short-rate analytics
General short-rate analytics
CFTC trade rules will create 'winner's curse'
Analysts at Barclays Capital say block trade reporting rules under Dodd-Frank Act will create additional risk for dealers
Pension fund risk manager of the year: Pension Protection Fund
Risk awards 2011