Numerical approximations of McKean Anticipative Backward Stochastic Differential Equations arising in Initial Margin requirements

Autor: Agarwal, A., De Marco, S., Gobet, E., Lopez-Salas, J. G., Noubiagain, F., Zhou, A.

Publikováno v: Agarwal, A. et. al., Numerical approximations of McKean anticipative backward stochastic differential equations arising in initial margin requirements, ESAIM: ProcS, 2019, 65, 1-26

We introduce a new class of anticipative backward stochastic differential equations with a dependence of McKean type on the law of the solution, that we name MKABSDE. We provide existence and uniqueness results in a general framework with relatively

Externí odkaz: http://arxiv.org/abs/2408.01185

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Assessing the Margin Requirements Impact on the Russian Futures Market Liquidity

Autor: Artem I. Potapov

Publikováno v: Финансовый журнал, Vol 15, Iss 5, Pp 94-116 (2023)

The implementation of a margin system in derivatives markets has a positive effect on market liquidity and market pricing efficiency. At the same time, portfolio diversification and hedging are not fully taken into account when assessing margin requi

Externí odkaz: https://doaj.org/article/131f22dbbf9f44ec9c22b4d04b52f965

Clearinghouse Margin Requirements.

Autor: Capponi, Agostino¹, Cheng, W. Allen¹

Publikováno v: Operations Research. Nov/Dec2018, Vol. 66 Issue 6, p1542-1558. 17p. 1 Chart, 2 Graphs.

The impact of margin requirements on voluntary clearing decisions

Autor: Onur, Esen, Reiffen, David, Sharma, Rajiv

Publikováno v: In Journal of Financial Markets March 2024 68