Taking a long equity volatility position is a favourite macro hedge for risk managers and traders across asset classes, but the trade doesn’t always work as expected. How has the volatility experienced...
More Equity derivatives articles
An underrating of the chances of tail-risk events occurring by standard risk models means hedging against extreme events in the equity market is underpriced, according to Danish pension fund ATP's chief investment officer, Bjarne Graven Larsen. Speaking...
Pricing equity variance swaps is well understood in the case of deterministic interest rates, but particularly for longer-dated swaps the stochastic nature of the rate cannot be ignored. Here, Per Hörfelt and Olaf Torné derive the fair strike when both...
Some bankers say hedge funds are behind the dramatic fall in dividends on May 7
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014
USA, 20th - 21st Aug 2014