derivatives-pricing

In the first article in this series, we established that regional banks are sitting on significant untapped revenue in their derivatives and FX programs, and that legacy infrastructure is the primary obstacle to capturing it. In this article, we will look at the first two pillars of purpose-built revenue enablement infrastructure: embedded pricing control and Continue reading "How pricing control…

What’s the best way to hedge a down-and-in BTC put? I am not quite sure what the best practice here would be and would love to get some guidance. Thanks

This video breaks down the Seagull spread — a three-legged options strategy that finances directional speculation through volatility skew arbitrage — exposing why there's no free lunch in its apparent risk-reward profile. 🎥 Video Tutorial • 📈 Options Strategy 🎥 Watch Video: https://youtu.be/DGOML4Zpt5E Topics: quantitative finance, investment analysis, financial education, options trading, der…

Numerous sources refer to the 'funding cost' of a derivative. I'm confused as to exactly what cost is being referred to here. To illustrate my confusion, consider purchasing an uncollateralised OTC gold forward at market (with value of 0). I have not needed to fund anything. Now consider that forward going into the money with some positive PV. I still have not funded anything (and will not need t…

From the Derivatives Practice Group: This week, the CFTC issued a Request for Comment regarding potential modifications to its Commitments … The post Derivatives, Legislative and Regulatory Weekly Update (May 1, 2026) appeared first on Gibson Dunn .

Bankers do love their military metaphors.  Former Goldman Sachs CEO Lloyd Blankfein famously had to remind a colleague during the 2008 financial crisis that “You're getting out of a Mercedes to go to the New York Federal Reserve. You're not getting out of a Higgins boat on Omaha beach".  The reason that bankers love battle vernacular is that it sounds good.  It’s cooler to refer to your elite str…

More collateral than ever before is being held to cover cleared and non-cleared derivatives exposures.... Read more Higher Collateral Puts Focus on Cross-product Netting

ISDA has published its latest annual margin survey, which shows that initial margin (IM) and... Read more ISDA Margin Survey Shows Leading Derivatives Firms Collected Record $1.6 Trillion of Margin in 2025

The ISDA Margin Survey analyzes the amount and composition of initial margin (IM) and variation... Read more ISDA Margin Survey Year-end 2025

Retail participation in listed derivatives has become one of the most closely watched structural shifts in the market, and according to the latest Crisil Coalition Greenwich and FIA 2026 Derivatives Market Structure […]

I fit some algorithm predicting the distribution of stock future log returns , based on historical prices. The optimisation goal - best fit of European options premium . Done as backtesting on historical prices - start with 0 cash, and after selling millions of European Calls and Puts with various strikes, compared with actually realised outcomes from historical stock prices on expiration date - …

Sometimes I'll see sources online say things like markets are pricing in a certain amount of bps rate cuts/hikes by the Fed or ECB (or some other central bank) for a certain monetary policy meeting date My main question is WHERE is this information found or how is it derived? I'm getting quite confused by looking at sources online The only thing I found publicly available which makes sense is the…

From the Derivatives Practice Group: This week, the CFTC and the SEC jointly proposed amendments to Form PF. The proposed … The post Derivatives, Legislative and Regulatory Weekly Update (April 24, 2026) appeared first on Gibson Dunn .

A comprehensive masterclass on navigating concentrated wealth using Equity Collars and Prepaid Variable Share Forwards (PVSFs). From zero-cost collar architecture and variable settlement algorithms to IRC Section 1259 constructive sale rules, SEC Form 4 disclosure requirements, and the landmark McKelvey litigation. 📊 Deep Research • 📈 Options Strategy Topics: quantitative finance, investment an…

Your model made a prediction. The prediction was wrong. Not just wrong. You have a number that tells you exactly how wrong. That number is the loss. High loss means bad prediction. Zero loss means perfect. Now what? You need to adjust the model's weights to reduce the loss. But there are millions of weights. You cannot try every possible combination. You need a smarter approach. The smarter appro…

I am a quantitative finance student, and during the first year of this Master’s Degree I couldn’t help but notice that there’s a lot of focus on derivatives pricing and little or none on stock pricing. Shouldn’t stock pricing be important, for example to help determine a fair value?

I think the comment provided by nbbo2 answers your question fairly well and is pointing in the right direction. To make the answer more concrete, it's important to note that unlike with other types of assets, derivative prices in the Black-Scholes world are driven mainly by changes in the price of the underlying. This means that the randomness of the underlying asset (described by the typical Bro…

I am using python quantlib, according to one of the Quantlib sample code to evaluate the CHT (Canada Housing Trust) Floaters, and the index I am using is CDOR, and somehow the price I got is always higher than the market, so I post my code below, please help me whether I made something wrong. First, the CDOR forward rates I am using in the code was downloaded from this site: https://www.chathamfi…

Hello Quant Stack Exchange community, I've been working on a discrete-time model for option pricing, where I calculate the replicating portfolio using the model and compare it with the real option prices dynamically. The equation I'm using to represent this is (similar to equation of Bakshi et al. 1997 - Empirical Performance of Alternative Option Pricing Models): $$H_{t+1} = a_tS_{t+1} + C_t \cd…

This video exposes the hidden traps in rolling options positions — from the P&L accounting fallacies of 'rolling for a credit' to systematic trigger frameworks and volatility surface dynamics that determine when rolling adds or destroys value. 🎥 Video Tutorial • 📈 Options Strategy 🎥 Watch Video: https://youtu.be/2L_UPaxTy_c Topics: quantitative finance, investment analysis, financial educa…