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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.

OIS Discounting and Curve Management Lecture in New York
7City 2991 Views

7City hosted a lecture for finance industry professionals in New York on May 31st. It was presented by Sol Steinberg, Satyam Kancharla and Mark Woodgate.

RiskMinds Asia 2014 - 17-20 November, St Regis, Singapore - 15% Wilmott Discount
RiskMinds Asia 2014
17-20 November, St Regis, Singapore

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Liquidity Under Basel Including Net Stable Funding & Liquidity Coverage Ratios
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Ronnie Tan, Group CRO, Great Eastern Life
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, Deputy CRO, Nomura
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Anju Abrol, CRO (Asia), Westpac
Irma Savitry Daulay, Chief Credit Officer, Bank Danamon
Brian Lo, Group Risk, Head of Market & Liquidity Risk, DBS Bank
Javed Husain Siddiqi, CRO, Soneri Bank
Fan Gao, Head of Operational Risk for APAC, Citigroup
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Tan You Leong, North Asia CRO, OCBC
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