The 2007-2009 financial crisis has led legislators on both sides of the Atlantic to propose laws that would require most “standardised” over-the-counter (OTC) derivatives to be cleared centrally. This paper examines these proposals. Although OTC derivatives did not cause the crisis, they do...

The approach selected is the fabrication of holographic optical elements which will focus to either a line or a point. A concentrating mirror is replicated in the hologram, which consists of dichromate gelatin exposed to a laser beam. The dichromate gelatin can be processed to produce a...

We propose a methodology for assessing model risk and apply it to the implied volatility function (IVF) model. This is a popular model among traders for valuing exotic options. Our research is different from other tests of the IVF model in that we reflect the traders' practice of using the model...

Implied volatilities are frequently used to quote the prices of options. The implied volatility of a European option on a particular asset as a function of strike price and time to maturity is known as the asset's volatility surface. Traders monitor movements in volatility surfaces closely. In...