General

Lamperti Transform

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Let \(X_t\) be an Ito process given by $$dX_t=f(X_t,t)dt+\sigma(X_t,t)dw_t$$ The Lamperti transformation is, $$Z_t=\phi(X_t,t)=\int\frac{1}{\sigma(x,t)}dx$$ and has a unit diffusion; that is, \(dZ_t=(…)dt + dw_t\). This transformation is fairly well known in finance, and particularly useful with separable volatility functions both

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Breaking: ISDA Announces Credit Event for Argentina

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Breaking--ISDA just announced that its Determination Committee decided that a "failure to pay" Credit Event has occurred with respect to the Argentine Republic.

The date of the Credit Event is July 30, 2014.

The ISDA Press Release can be found here, and the Determination Committee Decision can be found here.

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Commissioner Scott O'Malia to Become CEO of ISDA - Will ISDA Increase its Focus on the Energy Industry, Commercial Market Participants and Physical Commodity Markets?

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By Patty Dondanville and Tom Watterson

Following the CFTC announcement that Commissioner Scott O’Malia has resigned his position effective August 8th (see our prior post about that announcement here), ISDA has now announced that O’Malia will become its CEO effective August 18th. ISDA’s Press Release is available here.

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Commissioner O'Malia to Leave CFTC

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On Monday, July 21st, the CFTC issued a press release noting that CFTC Commissioner Scott D. O'Malia tendered his letter of resignation, and intends to resign effective August 8th.

The CFTC press release can be found here, and his letter of resignation can be found here.

Commissioner O'Malia's resignation will mark the fourth departure of a CFTC Commissioner in just over a year.

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Summer Reading: Financial Stability Board Consultative Document on Foreign Exchange Benchmarks

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The Financial Stability Board (FSB) released a Consultative Document on Foreign Exchange Benchmarks about potential market abuse on foreign exchange (FX) fixings. You can access the full report here. The report may be of particular interest to currency ETFs, multi-currency funds and portfolios, and corporate entities that seek to execute at the benchmark fix price.

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Seventh Circuit Court of Appeals Reverses District Court, Follows Trend of Applying Bankruptcy Code Safe Harbors Literally and Expansively

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By Todd Zerega and Luke Sizemore

INTRODUCTION

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Professor Pirrong Authors White Paper on Commodity Trading Firms

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By Andrew Cross and Tom Watterson

Professor Craig Pirrong authored a white paper on the Economics of Commodity Trading Firms, which is now publicly available.

You can access the paper through Professor Pirrong's blog posting here (in addition to the wealth of additional information and insight on his blog).

Good day. Good weekend reading. TSR

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