Titbits from my mailbox.

1. More opaqueness in the algo trading space. Dark pools are trading platforms for anonymous institutions where orders are typically hidden until execution. No open order book for these guys. Estimates are that such platforms now account for 35% trading volume. More detail (From Hedgeworld, here).

2. Gary Gensler talks about LIBOR risks  (From GARP, here), fixing it will take till at least 2014 says Canadian Financial Stability Board Governor Carney (here).

3. Convertible bond modeller, SciComp, offers fancy convertible bond pricing models for active users. The blurb from Wilmott, says:

Developed over 15 years with the input and guidance from top tier practitioners around the world, SciComp’s PDE-based convertible bond pricing models provide smooth, fast price convergence while supporting a broad range of convertible bond features including:

  • Cash/percentage/hybrid dividend model
  • Choice of hazard rate/credit spread models
  • Treasury/benchmark curve spreads
  • Structured coupons
  • Choice of models for foreign stocks
  • Flexible hard call/soft calls models
  • Discrete puts
  • Flexible COCO provisions
  • Many variants of make whole
  • Change of control / Poison put
  • Called bonds

Some of you are probably saying “Huh?”

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