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As a buy- or sell-side firm, you may not be thinking about some of the more detailed aspects of managing your investment portfolio, like for example, how your trade calendar and particularly holidays are treated in your analytics system. But the truth is that getting holiday conventions right is crucially important to helping you accurately price trades. The traditional process financial

A few years after Black, Scholes and Merton produced their path-breaking option pricing model, other researchers developed what has become known as risk-neutral valuation. The risk-neutral valuation principle is wonderfully simple. To value a derivative we do not need to know how the underlying market variables behave in the real world. All we need to know is how they behave in the (totally unreal

Many financial institutions once viewed risk management systems as necessary primarily for compliance purposes. However, today, a growing number of asset managers regard these systems as pivotal to the investment process itself—that is key to generating higher returns, limiting losses, improving margins and raising the confidence of clients, investors and stakeholders. So, you may be asking, what

In the strictest sense, a hybrid is a derivative or security exposed to more than one asset class. For more practical purposes, hybrids are derivatives that are sensitive to correlations between underlyings, whether they are in one asset class or multiple. An example of a traditional hybrid instrument would be a convertible bond, which is exposed to the value of the underlying equity, interest

Instead of facilitating business, buy-side firms are now finding that their legacy trading and risk systems are actually impeding it. While once legacy technology may have been enough, today’s buy-sides need more sophisticated architecture to support complex investment strategies. It was this trend that I discussed during FINCAD’s recent webinar: Trading and Risk Technology: Drive Value with High