Standard Bank quantitative analyst Roelof Sheppard shows how absolute and proportional dividend payments give rise to arbitrage constraints on the implied volatility surface
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...
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
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...
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...
Large parts of the equity volatility market closed down last year when hedge funds and investment banks fled for the exits amid billions of dollars of losses. But the equity market rally since March has resulted in industry participants predicting a comeback...
Source has launched 18 exchange-traded funds linked to the Dow Jones Stoxx 600 Optimised Super Sector index range. The index range was created by the ETF provider and DJ and represents a new generation of funds created to deliver exposure to improved...
Abnormally low repurchase rates are forcing banks to hedge their dividend exposures with swaps instead of forwards.
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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