Tag: Derivatives
HJM-FMM Model – Fast Calibration via a Neural Network
Authored by, Serena Manti and Gianluca Molteni of the Financial Engineering and A.I. team at List. The aim of this post is to introduce a novel systematic approach [more…]
BitMEX builds towards centralized crypto’s future
It’s not a good time to run a centralized crypto exchange. Less than a year has transpired since the FTX collapse and much of the crypto landscape [more…]
Gilty Secrets Of GBP Swaps
(Sorry/not sorry for the title) UK Rates UK rates markets have been interesting ever since the autumn meltdown, and there are now lots of headlines around as [more…]
HJM-FMM Model – A Deep Dive
Authored by, Serena Manti and Gianluca Molteni of the Financial Engineering and A.I. team at List. This is the follow-up of our first post introducing the paper “Parsimonious [more…]
Parsimonious HJM-FMM Model with Risk-Free Term Rates
Authored by, Serena Manti and Gianluca Molteni of the Financial Engineering and A.I. team at List. In this post we would like to introduce our paper “Parsimonious [more…]
Fast Valuation of Seasoned OIS Swaps
LIBOR transition has transformed LIBOR swap portfolios into OIS portfolios on the new RFR rates. Naïve valuations of seasoned swaps will be noticeably slower. The obscure Chilean [more…]
Credit Suisse & UBS LIVE Blog
SBSDRView allows us to track trading in single name CDS: Follow the blog live today to see what the market thinks of the Credit Suisse-UBS deal. We [more…]
How to Trade A Bank Run
Much of what is written on this blog stems from the “OG” Financial Crisis back in 2008. Without that, we would not have seen the Dodd Frank [more…]
Huobi Global Review 2023: Good Exchange with DEEP Liquidity
The search for the best crypto exchange to meet your trading needs can be difficult. With over 400 different cryptocurrency exchanges available, many specializing in different areas, [more…]