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UnRisk: Finance@Court
Andreas Binder

Municipalities would do well to analyze payoffs and the risk of swaps before taking a leap with taxpayers' money...

Low Strike Extrapolation for SABR - d-fine
Sebastian Schlenkrich, André Miemiec, Tilman Wolff-Siemssen, d-fine GmbH, Frankfurt, Germany

In this paper we analyse the modelling of rate options in a low interest rate market environment. In particular, the pricing of low, zero and negative strike vanilla options is considered. We review the modelling approaches available in the literature. For the important special case of the widely used SABR formula we illustrate the shortcomings connected with the low strike wing of the smile.

Moreover, a simple approach of low strike extrapolation will be presented. It is based on gluing the density function implied by the standard SABR formula to a suitable density function at low strikes in an arbitrage free manner. This approach yields a robust and transparent method to price low, zero and negative strike vanilla options.

'Tis An Equity Puzzlement: Wilmott Magazine Article
Gustav Bamberger 3228 Views


My 11-year old son complains bitterly almost every night about homework (his eight-year old brother isn't old enough for homework yet, which is especially infuriating).   Although he doesn't like any homework, he's especially unhappy when it's math, his least favorite subject.

According to his teachers, he does very well in the subject, but he's convinced he's not any good at it.

RISK DATA AGGREGATION & REPORTING - 24 - 25 September 2014, London - 10% Discount
24 - 25 September 2014, London

Achieving Compliance and Implementing Solutions for the New BCBS 239, DGI, LEIs and FDSF Risk Data Regulatory Requirements

10% Discount Available Courtesy of Wilmott

Join the FSB, European Regulators and Heads of Risk, Data and Architecture at European Banks to discuss the latest regulatory developments and industry practices within Risk Data.

Focusing on the BCBS 239 Risk Data Aggregation and Reporting principles, the Summit will bring together leading European regulators and banks to discuss evaluating the principles and steps to enhancing risk data governance, tools and processes in practice. With regulators and Heads of Risk, Data and Architecture sharing best practice in managing risk data, the Summit will prove valuable for all those involved in managing risk data, architecture and infrastructure within the bank.

Key highlights of what you can expect at Infoline's Risk Data Aggregation and Reporting Summit:

Regulatory insights and clarity on risk data regulation:
? Financial Stability Board: Data Gaps framework
? PRA Framework for risk data compliance
? Integrating work for BCBS 239, LEIs and the FDSF
? Regulatory roundtable: National interpretation of the Risk Data Aggregation and Reporting principles

Enhance aggregation and reporting capabilities within the bank:
? Achieving data aggregation across the group
? Practical steps to accuracy and integrity for data
? Reconciliation and control systems for data
? Developing an information delivery process 

Build appropriate data governance frameworks:
? Educating the Board on current risk data practices
? Effective governance structures for risk data
? Reassuring the regulator over governance
? Delivering lean reporting for risk data

Overcome architectural challenges to leverage risk data for the business:
? Ensuring data lineage processes
? Investing in operating models for data
? Leveraging risk data within the bank
? Overcoming legacy architecture

10% Discount Available Courtesy of Wilmott

To register: Visit the website
Call: +44 (0)20 7017 7702
Remember to quote your VIP Code FKM62862WMTL
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