We consider the option value of cash when nominal interest rates are no longer constrained by the zero lower bound. We provide a general valuation principle and solve for the value of cash in semi-closed form under Vasicek (1977) dynamics for the nominal short rate. In the absence of a zero...

"Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Every derivatives valuation and risk system, either in-house or from external vendors, features at least some kind of scripting technology. Yet, the expertise in that field remains unwritten to...

Cover -- Title Page -- Copyright Page -- Contents -- My Life in Script by Jesper Andreasen -- Part I A Scripting Library in C++ -- Introduction -- Chapter 1 Opening Remarks -- Introduction -- 1.1 Scripting is not only for exotics -- 1.2 Scripting is for cash‐flows not payoffs -- 1.3 Simulation...

Banks hold and routinely exercise the option of freely re-hypothecating variation margin across counterparties and trades. However, the emerging FCA/FBA standards for funding cost accounting are mostly formulated in terms of netting set specific metrics that fail to properly account for...