Foreign exchange (fx)
Investors seek alternative forex hedges for euro crisis
Australian dollar, renminbi and CE3 currencies touted as alternative macro hedges for European debt woes
Troy Rohrbaugh is to relocate to New York to head up rates and FX, while Chris Willcox moves to asset management
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in...
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An easy-to-hedge covariance swap
Covariance swaps that track the covariance of assets can be difficult to hedge because there is no known static replication formula, unlike the case for variance swaps. However, in the case of swaps measuring the covariance between the absolute returns...
Coutte leaves SG CIB
Flow fixed-income and currencies co-head is latest in a series of senior sales and trading figures to leave the bank
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered...
US Treasury’s FX exemption hangs in the balance
A year after the US Treasury's proposed regulatory exemption for FX swaps and forwards, the position has never been confirmed - and some believe it may be reconsidered
UK financial chiefs throw weight behind London’s RMB initiative
London will become the next offshore centre for RMB trading, vows UK chancellor George Osborne, supported by banking heads from Bank of China, Barclays, Deutsche Bank, HSBC and Standard Chartered
CPSS-Iosco lifts cloud on forex options clearing
CCPs do not have to guarantee settlement, CPSS-Iosco rules - but issue could still have some way to run
Esma must mirror US Treasury’s FX exemption, says EC official
Patrick Pearson, head of the European Commission unit that drafted Emir, says forex swaps and forwards must be exempt from clearing under Esma standards
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
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