Florian Bourgey, Patrick Noble, Ingi Petursson, Mathieu Rosenbaum and Grégoire Szymanski introduce the quadratic rough HestonC (QRHC) model, a minimal extension of the quadratic rough Heston model ...
When lawyers at the Commodity Futures Trading Commission set out their views on the legal nature of perpetual contracts in a ...
Hedge funds are piling into foreign exchange options that bet against the euro, including through more complex exotic ...
Securitisation exposures at large European banks have risen 80% since 2022, while associated risk-weighted assets (RWAs) have grown only 52.3%, a Risk Quantum analysis found.
It’s more than a decade since funding valuation adjustment (FVA) moved from academic controversy into the mainstream. So, ...
Volatile swap spreads have issuers weighing a shift from swap locks to costlier Treasury locks for pre-issuance hedges ...
Calamos’s ‘Least-of Autocallable Income ETF’ (CAYN), built with Citi and index provider MerQube, references a laddered index ...
The deployment of AI models in finance is a high-stakes business. Wrong decisions on loans, pricing, risk management or ...
The regulatory treatment of CME’s single-stock futures (SSFs) may require clarification for the contracts to gain wider ...
Anti-money laundering (AML) professionals are urging the US Financial Crimes Enforcement Network to provide more feedback on ...
US regulators are likely to allow banks to include access to the Federal Reserve discount window in their liquidity coverage ...
Quants at Barclays have built a prototype monitoring system to read the minds of AI agents and catch them before they do ...
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