Exchanges and CCPs respond to regulatory scrutiny and evolving threats with tighter vendor management and scenario refreshes ...

Jörg Kienitz proposes a method for generating synthetic market data under the real-world measure P based on Gaussian mixture models (convex combinations of Gaussians). Once numerically fitted, the ...

Wells Fargo’s commodity derivatives expanded to a record $136.7 billion in notional amount in the first quarter, outpacing those of larger Wall Street rivals that typically dominate the space. The ...

Structured products issuers typically hedge the exotic risks of autocallable notes by slicing and dicing these exposures into bite-sized derivatives trades, such as dispersion and corridor variance ...