TARF pricing with the Dupire local volatility model
Following on from the first article on Target Redemption Forwards (see Handling the complexities), my colleagues Serena Manti and Gianluca Molteni have written an interesting article on pricing using the Dupire local volatility model as the path dependent features of these products means that the standard Balck Scholes model with it constatnt volatility assumption is […]
USD Rates – What’s New?
USD Outright Volumes The chart below shows monthly volumes since Sep 2021: Showing; And we shouldn’t avoid the chance to present another impressive chart. Average Daily Volumes in USD Rates keep on increasing each quarter: Will September 2024 be busy enough for us to close the quarter with another record? Stay tuned to the Clarus […]