Arbitrage
Eurekahedge statistical information
The latest statistical information on top performing FoHFs and hedge funds running arbitrage, relative value, distressed debt, event driven, fixed income, global macro and long/short equity strategies...
Eric Pellicciaro, the former head of global rates investments at BlackRock, will manage a global macro portfolio for Mariner’s newly launched incubation fund
Despite performance gains by developed Europe-focused funds, investor flows have been persistently negative. Convertible arbitrage strategies continue to outperform the hedge fund aggregate
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Arbitrage articles
Diapason launches hedge fund strategy playing energy arbitrage opportunities...
Independent commodity asset manager Diapason Commodities Management is launching a hedge fund trading spreads between commodity future contracts using a proprietary model of the refining industry.
China looks to offshore ETFs
China’s vast pool of domestic savings has so far been invested internally, but the launch of exchange-traded funds linked to international shares could be a sign that this is about to change. Justin Lee reports
Full implications for CMS convexity
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
Disenchantment with equities boosts attractions of forex
As investors shy away from equities, the creators of structured products are trying to replicate exposure to different markets using foreign exchange and attract a wider pool of investors who want to invest in currencies. Magda Ali investigates
Spread options, Farkas's lemma and linear programming
Vladimir Piterbarg derives necessary and sufficient conditions for the existence of a joint distribution consistent with given marginals and the distribution of the spread in terms of no-arbitrage conditions among certain payouts. He also proposes a generic...
Spread options, Farkas's lemma and linear programming
Vladimir Piterbarg derives necessary and sufficient conditions for the existence of a joint distribution consistent with given marginals and the distribution of the spread in terms of no-arbitrage conditions among certain payouts. He also proposes a generic...
OTC flash crash: Dealers consider risks of HFT invasion
Regulators want over-the-counter markets to be traded more like equities and futures, which could mean opening the door to high-frequency trading, more volatility – and the threat of a rates flash crash. By Laurie Carver
Using market and credit risk analytics to strengthen performance
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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
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