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 ...

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 ...

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 ...

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

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

Former regulators are urging the US to continue active participation at the Basel Committee on Banking Supervision, arguing ...

The Bank of England will publish a discussion paper later this year on possible regulatory reforms to the UK’s sovereign bond ...

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

High-profile hacks are a clear and present danger, undermining business confidence as well as operability. For the financial ...

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

The International Swaps and Derivatives Association has proposed setting up a new governance committee to oversee changes in ...

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