We establish 𝑝 -strong convergence with order one half for the projected Euler–Maruyama method for the Cox–Ingersoll–Ross model. By combining the projection technique with the normalized error ...
The European Union’s largest swap and bond trading platforms, Bloomberg and Tradeweb, would become subject to supervision by the European Securities and Markets Authority under proposed reforms, ...
This paper puts forward an analytical, faster and accurate approximation to compute cheapest-to-deliver discount curves for multi-currency collateral.
The authors develop a homogenization measurement method from the perspectives of return rates and Sharpe ratios based on data from 421 active quantitative funds ...
Risk.net’s latest benchmarking exercise shows banks confronting decades-long exposures, while grappling with political headwinds, limited resources and data ...
Trade processing chair blames budget constraints, testing and unease over operational risk ahead of settlement move ...
Several futures commission merchants (FCMs) with less than $1 billion in customer funds recorded triple-digit growth through 2025 and into early 2026. At the end of January, 25 FCMs had futures and ...
Trading in overnight index swaps referencing the effective federal funds rate outpaced activity linked to the secured ...
Brian Donnelly almost gave up on competing for US retail options order flow a little over a year ago. Volant Trading, the ...
How should we characterise market impact? For practitioners, it’s an obstacle that considerably increases the cost of trading ...
The authors investigate hedge fund performance in China with a Markov regime-switching model, showing differences between between economic expansion and ...
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