Details of new module – ‘MBRM 2-Factor Interest Rate Volatility Add-in’ The new module implements the cutting edge 2-factor ‘Brace-Gatarek-Musiela’ (BGM) model to price and risk manage interest rate derivatives. The system automatically calibrates the BGM interest rate model to any of the traded instruments (e.g. swaptions, caps, floors, collars, corridors, digitals etc), including fitting expected correlations between different parts of the curve. Dr Mamdouh Barakat, Managing Director, says ‘A major weakness of the widely used 1-factor interest rate models is that users implicitly assume perfect correlation between short and long term interest rates (i.e. a correlation of 1). Using a 1-factor model, if you tried to price any kind of term spread option trade, e.g. option on the spread ‘6M Libor – 10 year rates’, the single factor models would return completely wrong answers.’
A report by broking group Marsh examines the repercussions from the administration of the South Korean company, which filed for bankruptcy protection at the end of August.
Global research by C2FO suggests that smaller businesses are less concerned with the repercussions of Brexit and the upcoming US presidential election.
A squeeze on skilled talent means it now takes an average of seven weeks to fill open permanent roles in finance in the UK according to new research from financial services recruitment firm Robert Half.
Early-stage merger and acquisition deals in Asia-Pacific show nearly 10% year-on-year growth in recent months.