An analytic study of liquidity limitations point out to option prices increase/decrease via volatility enhancements/suppressions for short and long portfolios respectively. We use asymptotics of long and short expirations along with non-perturbative considerations and present some practical...

We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps...

Financial markets exhibit high levels of volatility. Volatile markets are usually associated with high risks and uncertain investment returns. Financial institutions therefore, usually opt to hedge their investment portfolios against the high volatility using a suitable hedging structure. One...

We propose a model which allows to price and hedge credit/IR/FX hybrid products whose payoffs do not depend on the change in credit quality of the underlying entity prior to default. It is based on the multi-currency Hull-White model, with Gaussian short rates and log-normal spot FX rates. The...

This paper considers recent derivatives mismarking cases from Bacon 1996 and Truelove and Steel 1997 through to Piper 2009 and Montserret 2009. The behavioural, institutional, risk-reward and regulatory drivers of these cases are reviewed as well as associated derivatives mismarking techniques...

A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche

In Italia esistono due mercati regolamentati di strumenti finanziari derivati accessibili agli investitori retail entrambi gestiti da Borsa Italiana: il SeDex, dove sono trattati covered warrant (CW) e altri strumenti derivati cartolarizzati, e l'IDEM, dove sono invece trattate opzioni su...

In this paper we represent alternative approach for exotics options valuation problem. We study the time-space discrete valuation setting that usually referred to as the binomial scheme if states are two. The main distinction of the alternative pricing approach is that we interpret price of the...

People by and large tend to postpone their present consumption for numerous reasons. This postponement of consumption leaves them with surplus money to invest for future consumption. Amongst the number of alternatives avenues present for such investments, gold too tends to be one of them. People...