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In my last post, I asserted that common usage of the term model, in the context of derivative pricing, is too narrow and should be widened to include the full set of modelling assumptions relevant to a given valuation. When using the word in this sense, I will write Model with a capital M. So what's in a Model? How do we interact with it? Let's start by getting something out of the way - some

It’s been well over a year since EMIR, the regulatory cousin to the US Dodd-Frank Rule, began to be enforced. While the regulations which make central clearing for some OTC derivatives, risk management and trade reporting mandatory, are not seen to be as clenching as the American version, they are at least as cumbersome to follow, and are taking even longer to roll out. So how is the industry

US Banks embattled with the CFTC’s Cross-Border Trade Rules which are eroding their overseas business, lost out again recently on a loophole which up until November 13 allowed them to initiate trades in the US, and complete them internationally to bypass SEF’s. Footnote 513 was blocked by new guidance released by the commission which continues to latch down on those traders defying the rules meant

There was very interesting and thought provoking content at this year’s conference, with many interesting sessions but too many to catch. Here are a few noticeable themes from the event as well as some interesting topic areas. The continual debate about FVA - It was quite interesting to hear John Hull lead a session following up his much talked about 2012 paper on funding value adjustments, titled

The word "model" is used a lot in quantitative finance. We routinely say "the Black-Scholes model" or "the SABR model" and so on. At thefreedictionary.com/model I see a list of 8 definitions of the word model, covering a variety of contexts from model railways to individuals on catwalks who could use a few square meals. The relevant entry for our purposes is: A schematic description of a system