Some academically oriented readers may get a bit upset at this statement, but most financial derivatives pricing in practice comes down to this basic formula. The net present value (NPV) of a ...

The differential between the five-year and the 10-year iTraxx Europe Index is about 23 basis points. This is close to record highs. At the end of last September, when the new Series 4 Index was rolled ...

Squint to read the comic below: How did the bankers miss this one? It appears as if Senator Blanche Lincoln and the Senate Agriculture Committee are on the cusp of passing derivatives reforms that ...

The credit crunch that began in the second half of 2007 has triggered, among many consequences, the explosion of the basis spreads quoted on the market between single-currency interest rate ...

New analytics make up the second phase of a three-part roll-out by Liquidnet. The first phase included a set of pre-trade analytics covering volume and liquidity information. Liquidnet is set to roll ...

The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid.