Institutional Investor Rankings 2008
M&G's steady, conservative investment style during the years leading up to 2007 may have resulted in solid, if unspectacular, returns, but this methodical approach has served the firm well during the credit crisis. Rather like the proverbial tortoise,...
Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of 'information derivatives' includes the standard volatility products...
Special Report: Equity derivatives
Andrei Soklakov considers the problem of creating derivatives to provide tailored exposure to volatility risk. Information theory leads us to a whole class of such products. This class of 'information derivatives' includes standard volatility products...
End-User Survey 2008
Special Report: South Korea
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is...
Merrill Lynch Global Research has launched the Merrill Lynch US Forward Equity Variance Rolling (FEVR) index, which measures the performance of a long S&P 500 volatility strategy. The index tracks volatility using a strategy designed to minimise the carry...