The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion...
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Optimisation articles
Volume 17, Issue 4 (2014)
Volume 17, Issue 4, 2014
A shake up at the top is marking a new direction for the company
We consider the Delta-hedging strategy for a vanilla option under discrete hedging and transaction costs. Assuming that the option is Delta-hedged using the Black-Scholes-Merton model with an implied lognormal...
Nobel prize-winner defends his work on portfolio theory, which critics claim has been discredited by the crisis
End-users’ energy and commodities hedging strategies are growing in sophistication as they adopt more complex products and non-traditional tools, says the head of RWE npower’s optimisation desk
Bernard Madoff was sentenced to 150 years in prison in the Manhattan federal court yesterday.
European investment funds are preparing to face tighter regulation in the wake of the Madoff scandal.
Daily news headlines
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.