Dexia Private Bank
Special Report: Electronic trading - Trade confirmation
Fears of recession and increased volatility have led to the return of strategic overwriting strategies – the selling of call options to gain extra yield.
Artur Sepp discusses Vix futures and options and shows that their market prices exhibit positive volatility skew. To better model the market behaviour of the S&P 500 index and its associated volatility skew, he introduces the stochastic dynamics of the...
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...
Barclays is offering a five-year income product linked to the DJ Stoxx 50 index - rather than the DJ Eurostoxx 50 - that pays an annual income of 7.25%, or 1.8% per quarter, with a growth option attached
A raft of autocallable kickout products in Germany are exemplified by two deals this month, based on the stock of DaimlerChrysler and SAP. Double-digit coupons are on offer for both, as is the chance of a bonus should the barrier not be breached
Tim Mortimer of Future Value Consultants looks at the pricing issues for structured products in different markets and provides his trade of the month