Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuations, announced today that its award winning Price-it Library now contains a model ...

The ability to compute exotic greeks is important in explaining profit and loss statements, but what is the best way to calculate them effectively? In a virtual talk for the Bloomberg Quant (BBQ) ...

Stochastic volatility models have revolutionised the field of option pricing by allowing the volatility of an asset to vary randomly over time rather than remain constant. These models have ...

The analytics provider says the new framework can also be employed by hedge funds to match market prices with near instantaneous calibration, and can be used for a range of different options types ...

This paper reviews the general Bayesian approach to parameter estimation in stochastic volatility models with posterior computations performed by Gibbs sampling. The main purpose is to illustrate the ...

A new entrant into the over-the-counter (OTC) markets is the return barrier option. For these contracts, a large (daily) return event triggers a knockout, so they have a unique and direct exposure to ...