Technical papers/Foreign Exchange
Hedging weather exposure
Volumetric weather risk is usually levered by the commodity price, resulting in cross-commodity exposure known as a quanto. Hedging such exposure with quanto instruments is costly. Victor Dvortsov suggests...
Market calibration of inflation models is important in actuarial work. This report shows how Hull & White models are calibrated against LPI swaps and discusses the valuation of forward starting contracts...
Aviva group, active in the Italian market since 1921, distributes products through 800 agencies and brokers and more than 4,000 bank branches and 4,400 tied advisers. The life part of the group is composed...
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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 Technical papers/Foreign Exchange articles
Caja Segovia
Euribor-linked products are quite common in Spain, with terms ranging from six months (Santander's range of Rango funds, or their Inversion Dual deposit) to eight years (Banesto's Deposito Euribor Tietar). This Euribor-linked fund by Caja Segovia has...
At the flick of a switch
Jesper Andreasen and Martin Dahlgren present a regime-switching model for electricity derivatives that incorporates spiky spot-price dynamics and allows for closed-form pricing of forwards, options and swaptions
BCC Caravaggio
BCC Caravaggio is part of BCC Credito Cooperativo, a group of mutuals born from local banks at the end of 1800. The group has four million clients spread across Italy in almost 2,400 towns and 98 provinces
BNP Paribas
France's BNP Paribas Banque Privee recently launched 10/12 Euro 2011, based on the historic underperformance of the DJ Eurostoxx 50 during the months of August and September. With a term of almost six years this was the longest-maturity structured product...
Credit Mutuel
Action Plus 2011 is the third in a series of partial time barrier products by France's Credit Mutuel. The product was recently sold by the bank alongside two super-super Asian products, Potentiel Monde Novembre 2011 and Potentiel Horizon 2013
Bradford & Bingley
The UK's Bradford & Bingley recently launched Guaranteed Combi Bond, its first structured product since its advisers became tied to Legal & General. The product raised more than £13 million, and was quickly followed by the launch of the similar 50/50...
Fintro
Fintro, the group of independent brokers which is part of Fortis, has 345 branches in Belgium and a total of 400,000 clients. Originally concentrating on providing credit to companies, Fintro now focuses on retail customers and issues a structured product...
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