Currency controls in South Africa limit the ability of domestic investors to build stakes in big overseas companies. Listed quanto futures are one way round that, but the users remain exposed to currency...
Two different sets of master agreements cause stalemate between banks and securities firms
Delta-one desks say their arbitrage business has been cut back – contributing to an unprecedented collapse in implied equity index repo rates. Inventory pressures created by bank regulation are being...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Equity derivatives articles
Skew and curvature of volatility smiles are not only difficult to estimate, but also poorly reproduced by most smile expansions. Jean-Philippe Bouchaud, Lorenzo De Leo, Vincent Vargas and Stefano Ciliberti propose an expansion that effectively captures...
Institutions are creating demand for Topix options, outweighing supply
Institutional demand for Topix options outweighs supply and is creating basis risk for dealers hedging their positions
Traders say no sign of short volatility hedging after Nikkei 225 plunges
Inverted yield curve provides rich pickings for investors
The recent rise in Japan’s equity markets have seen macro hedge funds and asset managers overtake the retail structured product investors as the dominant source of flow on Nikkei and Topix options
Bank has not decided whether to sell its book to other dealers
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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