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Non-linear markets – the next frontier for RFR derivatives

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Wednesday, June 24 | 10.30 - 11.30

Non-linear markets – the next frontier for RFR derivatives:

  •  Clearing house interest-rate on collateral changes and resulting impact on valuation and risk for swaptions and other IR options
  • Resulting bases which have opened up between cleared and uncleared rate option products
  • New options markets developing in the new RFR , e.g. SOFR options
  • Complications for Caps and Floors
  • Loss of back-test data for certain systematic strategies

Ali Khan

MD, rates options and exotics trading

Nomura

Ali Khan is Managing director – Rates Options & Exotics Trading at Nomura, with over 15 years’ experience in Options Markets.

Prior to joining Nomura in 2009, Ali was an Exotic Rates Trader at Lehman Brothers for 4.5 years where he started his career.

Ali has a BA in Mathematics and an MPhil in Statistics from the University of Cambridge.

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