Paweł Stępniak is currently pursuing a PhD in Mathematics at Wrocław University of Science and Technology, having completed his MSc in 2021. His primary research interests are in financial and ...

We adopt the least squares Monte Carlo (LSMC) method to price time-capped American options. The cap can be an independent random variable or dependent on the asset price at a random time. We ...

A twist in this year’s review of buy-siders’ worries, though, is that the gloominess could become a risk in itself. Even as ...

As of end-June, $1.76 trillion in notional amounts of CDSs referenced sub-investment grade (IG) debt, with 62.1% cleared ...

The Intercontinental Exchange’s rapidly executed acquisition of the American Financial Exchange, announced on January 8, caught even some top AFX executives by surprise. The unsecured funding platform ...

The Basel III endgame capital requirements may be further delayed, following the resignation of Michael Barr as US Federal ...

Franklin Templeton has become the largest user of foreign exchange options among US mutual funds, taking the top spot from Morgan Stanley Investment Management for the first time since the end of 2020 ...

Default risk underpinned 26.3% of the combined C$99.3 billion ($68.8 billion) in market risk-weighted assets (RWAs) among the ‘big five’ banks, with credit spread risk accounting for an additional 26% ...

The US Securities and Exchange Commission’s US Treasury Clearing mandate has prompted several firms that currently rely on futures commission merchants (FCMs) to clear their trades to consider ...

The author proposes a means to value portfolios under a climate transition stress test, showing which sectors are likely to be more severely impacted by a ...

The authors investigate the relationship between return realizations and pre-earnings implied volatility, finding the ...

The authors put forward a machine learning model for the prediction of mortgage prepayment risks at the loan origination ...