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Reviving the lost art of perturbation for exotic pricing

Natixis quants find novel way to speed up volatility smile modelling

City ofUnited kingdomAdil reghaiFlorian monciaudVladimir lucicDanske bankImperial college londonAntoine savineImplied volatilityVolatility smileLocal volatility modelsTochastic local volatility slvDynamic hedgingSur take

Why even the safest stablecoins could fail

Settlement delays, insolvency risks mean collateralised coins could falter

United statesJeffrey zhangGary gortonNational bankDeposit insurance corporationCustodia bank caitlin longFederal reserveInternational monetary fund manmohan singhYale school of managementInternational monetary fundManmohan singhCustodia bankCaitlin longFederal deposit insurance corporationYale schoolNational bank act

No soft landings in flight to safety from Russia

Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue

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Is Citi s SA-CCR hit a sign of things to come?

Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike

United kingdomUnited kingdom generalMorgan stanleyGoldman sachsEnglish premier leagueJp morganChampions leagueCounterparty radarManchester cityManchester unitedState streetBuy sideCapital requirementsCost of capitalCounterparty credit riskStandardised approach to counterparty credit risk sa ccr

Hedging inflation may never have been trickier

Effective hedging depends on what’s causing prices to rise

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