Equity derivatives
Newedge launches India office and plans further expansion
French joint-venture brokerage Newedge has opened an office in Mumbai, aimed at giving international investors access to the growing market, and eventually providing for the developing investor base in...
The drop in equity implied volatility over the past few months has hit a number of so-called vol funds, with several racking up losses and at least one deciding to sell its options portfolio. First New...
The Depository Trust & Clearing Corporation (DTCC), which operates the trade information warehouse for credit derivatives, and MarkitServ will jointly operate an equity derivatives reporting repository....
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SG swoops as First New York exits options business
Société Générale (SG) beat four other bidders to snap up an equity options portfolio on September 22 after privately held prop trading house First New York decided to exit the business. The previously unreported transaction evaded the attention of...
Equity derivatives trade repository shortlist drawn up
Three companies have been short-listed to operate an equity derivatives trade repository, Risk understands. Among the firms on the shortlist are Stockholm-based technology company TriOptima, which was selected to provide a trade repository for interest...
Sponsored statement: The implied volatility surface in the presence...
Standard Bank quantitative analyst Roelof Sheppard shows how absolute and proportional dividend payments give rise to arbitrage constraints on the implied volatility surface
M&A bustle sparks uptick in single stock options
Short-dated option volumes on event-type single stocks have surged due to the recent intensification of mergers and acquisitions activity, led by US food and beverage producer Kraft’s approach for UK confectionary company Cadbury. The uptick in option...
Sponsored statement: Sunrise brokers - a winning formula
Launched in 1991, Sunrise Brokers is a dominant force in the derivatives space. In this year's Risk interdealer rankings, Sunrise takes first place - for the third year running - in equity derivatives and dominates structured derivatives. Claude Amar,...
Calibration of local stochastic volatility models to market smiles
Pierre Henry-Labordère introduces a new technique for calibrating local volatility extensions of arbitrary multi-factor stochastic volatility models to market smiles. Although approximate, this technique is both fast and accurate. The procedure is illustrated...
Warranting approval?
The US Treasury has come under fire for allowing banks to repurchase warrants held under its Troubled Asset Relief Program at a discount. Is the criticism justified? And what effect is an auction of JP Morgan's warrants likely to have? Mark Pengelly investigates...
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Using market and credit risk analytics to strengthen performance
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