Feature
Pensions
Introduction
A gilt complex
Supply and Demand
The waiting game
Q&A
SPA Newswire
North America
The right tool for the job
Regulation Update
Pushing protection
India
Rediscovering risk
Italy
Breaking barriers to high net growth
Malaysian regulation
Timetable trouble
Basel II
Standing alone
Commodity funds
Seoul searching
Korea regulation
Inflation-indexed securities - Inflation with a smile
In the current inflation-indexed markets, most traded options have zero or even negative strikes. This highlights the need for a smile-consistent valuation of caps and floors on inflation rates. To this end, Fabio Mercurio and Nicola Moreni propose a…
Optimal allocation to hedge funds
Lionel Martellini and Mathieu Vaissie argue that it is only by taking into account the exact nature and composition of their existing portfolio that institutional investors can maximise the benefits they can expect from investing in hedge funds. To this…
Tips options in the Jarrow-Yildirim model
Marc Henrard proposes an explicit pricing formula for inflation bond options using the Jarrow-Yildirim model. The formula resembles that for coupon bond options in the Heath-Jarrow-Morton model
Lessons learned
Operational Risk
Limits on far VAR
Hedge Fund Perspective
Trading by models
Hedge funds
Under scrutiny
Equity Derivatives
A new regime
Hedge Funds
Banks get stressed
Stress Testing