Market sentiment around euro/ US dollar FX options has shifted dramatically with geopolitical events. For example, after US ...

The authors investigate return barrier options and how failing to capture the market’s implied volatility surface can lead to ...

Investigating systemic risk, the authors build an interbank network based on tail dependence and suggest typical network ...

Justin Lars Kirkby is currently a Quantitative Researcher at a larger multi-manager hedge fund. He has held various positions in the financial industry, with research interests including Option ...

Dr. Marija Panić is Full Professor at the Engineering Management Department, Technical Faculty in Bor, University of Belgrade, Serbia. In addition to teaching, she is engaged in scientific and ...

The European Commission is preparing a legal act that will introduce temporary changes to future trading book capital rules, according to four industry sources familiar with the plans.

Capital One recorded a net loss of $4.3 billion in the second quarter, its first since the Covid-19 pandemic, after booking $11.4 billion in provisions for credit losses – its highest level since at ...

Hayes, who spent five-and-a-half years in prison, was a high-profile case among those accused of Libor manipulation, amidst ...

A team of academics has used a simple machine learning algorithm to filter out so-called noisy trading in stock exchange data ...

Fool me once, shame on you. Fool me twice, shame on me. It’s a maxim on many traders’ minds as they try to gauge the ...

Danske Bank curbed its credit valuation adjustment (CVA) capital requirements to their lowest level on record in Q2, reshuffling hedges six months into operating under final Basel III rules.

A panel on reform of US bank capital rules was meandering towards a predictable conclusion on July 22, when one member of the ...