Opportunities and threats
Citi Funding is offering a hedge against the negative correlation between volatility and equity markets as well as an option to take a view on volatility.
Barclays has listed its first iPath ETN in Italy, hoping to add to the success of its volatility-linked ETNs
Structured Products Europe Awards 2010
A volatile time
Macro hedging in disrepair
Digital options lead to two outcomes and are most commonly used with capital protected structured products.
Developments in the US inflation derivatives market
Tobam's analysis of financial markets diversification suggests that eurozone indexes might not be as diversified as investors believe
Using options to improve portfolio risk/returns
Stoxx launches Eurostoxx 50 volatility index
Neck and neck
Reduction in risk appetite and regulatory crackdown causing increase in long-dated skew, say equity derivatives dealers
Cross-asset quadratic Gaussian models have been limited in the scale of their implementation by the difficulty in ensuring the correct drift conditions to omit arbitrage. Here, Paul McCloud shows how to exploit the symmetries of the functional form to...
In the January 1994 issue of Risk, Bruno Dupire showed how the Black-Scholes model can be extended to make it compatible with observed market volatility smiles, allowing consistent pricing and hedging of exotic options
Financial market volatility is at an all-time low due to improvements in the functioning and structure of global financial markets, increased liquidity and better communication between central banks and firms, according to a report released today by the...
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities...
Cutting edge: Option pricing