Options
Viva Las Vega: Japan banks take advantage of volatility play
Last summer, banks in the Japan structured products market were hit hard by moves in volatility – but some banks saw this as an opportunity to recycle risk to European pension funds
As the search for a viable clearing mechanism for FX options begins, market participants suggest clearing won't begin before 2014
The Hong Kong bourse is set to start OTC derivatives clearing in April and is planning to expand its cross-asset derivatives offering over the next two to three years
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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 Options articles
FX options clearing analysis in final stages
The GFMA's global forex division is understood to be close to completion of its analysis of five years of options trading data - a project that is intended to lead to a solution for options clearing
A least discrimination method for portfolio optimization: an alternative...
Black and Litterman recommend that portfolio optimization start with a reference portfolio (eg, a performance benchmark) and inferring the returns forecast that makes this portfolio optimal. Personal views on some asset returns may then be expressed as...
House of the year
BNP Paribas Total return swaps on the iBoxx corporate bond indexes were started last year by a working group of banks in which BNP Paribas took a leading role, alongside Markit. The French bank worked with JP Morgan and Morgan Stanley in the early development...
A new framework for assessing product complexity
Some Ucits-compliant structured products look set to be deemed complex under new Mifid proposals. Jürgen Vandenbroucke proposes a more sophisticated way of classifying complexity in structured products
Demystifying digital options
The digital option is the simplest of all derivatives contracts. At maturity, it either pays out if a certain condition is met or pays out zero if it is not met. Guus Oonincx explains the role digital options play in structured products
Asian hedge funds looks for volatility opportunities
Volatility hedge funds operating in Asia have reported some spectacular losses since 2008. Despite this, there are still funds operating in the volatility arena. What strategies are working best and why is volatility so low?
Adjoint Greeks made easy
Luca Capriotti and Michael Giles show how algorithmic differentiation can be used to systematically implement the adjoint calculation of sensitivities in Monte Carlo for general path-dependent and multi-asset options, with minimal analytical effort. With...
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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