Equity derivatives
Return to variance?
Banks and investors were hammered on short single-stock variance positions during the crisis, causing many dealers to pull back from the variance swap market altogether. Instead, some have been pushing...
Some bankers say hedge funds are behind the dramatic fall in dividends on May 7
Implementing models with stochastic volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional partial differential...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Equity derivatives articles
Carter joins Renaissance as head of equity derivatives
Renaissance Capital, the Moscow-based emerging markets investment bank, has appointed hedge fund manager Christopher Carter to the new post of global head of equity derivatives, equity finance, convertibles and delta one. Carter will be responsible...
Expanded smiles
Implementing models with stochastic as well as deterministic local volatility can be challenging. Here, Jesper Andreasen and Brian Huge describe an expansion approach for such models that avoids the high-dimensional partial differential equations usually...
Shanghai exchange launches China's first index futures
Investors in Chinese stocks have been given more flexibility, with the launch of the country's first stock futures and a rule-change allowing short-selling of cash shares.
Lee bows out at UBS in Hong Kong
Christopher Lee, head of risk management product (RMP) intermediaries at UBS in Hong Kong, has left the Swiss bank.
Equity derivatives
Short selling has long been viewed by politicians and some regulators with suspicion. Considered by many to be the root cause of any devastating sell-off, there is a long history of the practice being curtailed or banned altogether in some jurisdictions....
Dividend growth
Dealers and hedge funds were hammered by sharp falls in dividends during late 2008 and early 2009. Since then, liquidity has recovered as a wider range of market participants take advantage of the dislocation. Mark Pengelly reports
Ticked off with the uptick rule
The US Securities and Exchange Commission revealed a revised uptick rule in February, eliminating a key exemption for options market-makers. But some participants say these new rules will impede liquidity and price efficiency in US options markets. Peter...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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