Mark Donovan, CIMA®’s Post

Portable alpha overlays with low correlations to traditional asset class exposures can help provide diversifying, additive returns, particularly during drawdowns in risky assets that typically occur at the end of economic expansions. Is now the time to consider an overlay? Read the new white paper from PGIM Quantitative Solutions: https://on.pru/3WkGOAU

Portable alpha overlays with low correlations to traditional asset class exposures can help provide diversifying, additive returns, particularly during drawdowns in risky assets that typically occur at the end of economic expansions. Is now the time to consider an overlay? Read the new white paper from PGIM Quantitative Solutions: https://on.pru/3WkGOAU

Portable alpha overlays with low correlations to traditional asset class exposures can help provide diversifying, additive returns, particularly during drawdowns in risky assets that typically occur at the end of economic expansions. Is now the time to consider an overlay? Read the new white paper from PGIM Quantitative Solutions: https://on.pru/3WkGOAU

Portable alpha overlays with low correlations to traditional asset class exposures can help provide diversifying, additive returns, particularly during drawdowns in risky assets that typically occur at the end of economic expansions. Is now the time to consider an overlay? Read the new white paper from PGIM Quantitative Solutions: https://on.pru/3WkGOAU

Portable alpha overlays with low correlations to traditional asset class exposures can help provide diversifying, additive returns, particularly during drawdowns in risky assets that typically occur at the end of economic expansions. Is now the time to consider an overlay? Read the new white paper from PGIM Quantitative Solutions: https://on.pru/3WkGOAU

Portable alpha overlays with low correlations to traditional asset class exposures can help provide diversifying, additive returns, particularly during drawdowns in risky assets that typically occur at the end of economic expansions. Is now the time to consider an overlay? Read the new white paper from PGIM Quantitative Solutions: https://on.pru/3WkGOAU

In this paper, we delved into the Multifractal Model of Asset Returns (MMAR) and its potential as a tool to simulate the asset price trajectory of options. This model, first introduced by Mandelbrot, Richard, and Hudson in 1997, has been gaining traction as a promising approach to understanding asset returns. If you're interested in learning more about MMAR and its applications in the world of finance, check out our paper here: https://lnkd.in/gAavuQNW

With only two weeks to go, the countdown is on. Firms must calculate their AANA between March and May 2024 to understand if they are impacted by the latest UMR deadlines. If you are, our Initial Margin Prep Guide will help you every step of the way. Read it here: https://lnkd.in/en5mm2Nh #UMR #posttrade

Let me present our recent research paper with Parviz Rakhmonov on the stochastic volatility model for Factor Heath-Jarrow-Morton (HJM) interest rate framework (https://lnkd.in/dTBcrZBC) We introduce an extension of Factor Heath-Jarrow-Morton (FHJM) framework augmented with a stochastic volatility (SV) driver correlated with factors dynamics. Our model fits the initial yield curve by construction and it is able to produce positive implied volatility skews as observed in market prices of interest rate derivatives. We develop a general framework for analytical valuation of swaptions, interest rate (SOFR) futures, and options on rate futures using moment generating function (MGF) corresponding to the FHJM model with the SV driver. We show that Nelson-Siegel model with log-normal SV driver is able to fit accurately market implied volatilities of swaptions across different tenors and expiries and implied volatilities of options on rates futures. Given the popularity of Nelson-Siegel term structure model, our model can provide a valuable toolkit for building scenarios for the shape of both the yield curve and the implied volatilities and for risk-management of fixed-income derivatives. I emphasize that the model is arbitrage-free and consistent with the initial forward curve by construction and the model can value different interest rate derivatives (swaptions and options on rate futures) consistently. See my blog post with a short description of this paper and the simulation of our model https://lnkd.in/dQq5yur9

In this paper, Georgios Skoufis, cross asset quantitative analyst at Bloomberg, proposes a closed-form convexity adjustment for the SABR model applied to the pricing of risk-free rate derivatives https://lnkd.in/dYbQDwCr