Jörg Kienitz proposes a method for generating synthetic market data under the real-world measure P based on Gaussian mixture models (convex combinations of Gaussians). Once numerically fitted, the ...

Wells Fargo’s commodity derivatives expanded to a record $136.7 billion in notional amount in the first quarter, outpacing those of larger Wall Street rivals that typically dominate the space. The ...

Structured products issuers typically hedge the exotic risks of autocallable notes by slicing and dicing these exposures into bite-sized derivatives trades, such as dispersion and corridor variance ...

Market participants say they are still struggling to navigate the current drafting of Europe’s active account rules, with less than six weeks remaining until in-scope firms are required to maintain a ...

US rules that aim to boost on-exchange equities trading by reducing the fees exchanges charge face a test in court today, May ...

Three major Scandinavian banks reclassified their credit risk-weighted assets (RWAs) in the first quarter, following Basel III revisions that took effect on January 1 and curtailed use of the advanced ...

Data from the Office of Financial Research has led to misconceptions about the amount of US Treasury repo funding provided to ...

Markets are pricing in volatility levels that are too cheap given uncertainty around how the US tariff situation will play ...

APG’s chief executive, Ronald Wuijster, has said he is optimistic about the future of sustainability-linked derivatives, even if the pension fund provider’s own experience hasn’t been entirely ...

The head of the European Commission’s unit for macroprudential policy, Emiliano Tornese, has signalled the body is open to the creation of a central bank facility similar to the UK’s that can allow ...

Funding liquidity strategies must evolve to thrive in a climate defined by volatility, regulatory pressure and rising ...

Possible changes to the US supplementary leverage ratio (SLR) are more likely to be made separately – and before – a fresh ...