Equity derivatives
Nomura to reboot Korea ELWs with Hong Kong product launch
Korean retail investors will be able to access Kospi 200 warrants without the barriers to entry that exist in the Korean market
Local stochastic volatility models combine perfect calibration at time zero with realistic price dynamics. But traditional methods tend to underestimate the forward skew, and mis-price exotics such as...
Dealers are left unable to hedge ELS positions as liquidity dries up in Korea’s warrant market
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Sponsored statement: Ito33
Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework. Philippe Henrotte, co-founder, partner and head of financial theory and research at Ito33,...
China prepares for launch of cross-border ETF market
In the tightly regulated Chinese economy, the launch of ETFs linked to overseas shares marks a new form of investment vehicle available to mainland investors. However, challenges still remain due to structural differences in Chinese manufactured ETFs...
RBS cash equities exit could hike hedging costs
RBS will have to pay more to hedge vega from its equity derivatives business after losing offsets provided by cash, rivals say
OCC: equity derivatives to get a cross-margin service
Margin efficiency is going to be key to both listed and OTC derivatives markets, but the equity market has been lagging - a result of regulatory opacity
Korean regulator seeks further crackdown on ELW market
Financial Services Commission considers restrictions on liquidity providers to cool down Korean warrant market
Asian institutional investors take aggressive stance on volatility
The potential for another systemic meltdown is a clear and present danger given the precarious state of eurozone public finances plus global debt and credit imbalances. But Asian investors are not rushing to buy crash protection. Rather, with implied...
Brics to cross-list equity derivatives via new alliance
A new ‘Brics exchanges alliance’ has been formed to allow investors to trade equity index derivatives of each participating exchange in local currencies. The move comes as Asian exchanges increasingly are establishing alliances to promote cross-border...
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