Equity markets
Markovian projection for volatility calibration
Vladimir Piterbarg looks at the 'Markovian projection method', a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the…
A flawed structure
US mortgages
SSE to promote equity-linked structured products
The Shanghai Stock Exchange (SSE) is to promote the development of structured products such as covered warrants in 2007. According to a statement issued by the exchange, promoting the listing of innovative financial products is one of the nine tasks that…
New Hong Kong offering from Barclays
UK investment bank Barclays Capital has launched its second retail investment fund in Hong Kong. The Financial Select Income Fund guarantees investors quarterly dividends in the first year totally 10% while also limiting downside risk.
Hong Kong-listed derivatives on Chinese stocks
US bank Goldman Sachs has launched the first exchange traded fund (ETF) derivatives on Chinese stocks, to be listed on the Hong Kong stock exchange.
Does one size really fit all?
academic paper
Moody's hybrid methodology
Talking point
Going up ... the UK bounces back
UK retail
Eyeing change in Malaysia
Country profile
Hedge funds: Absolute satisfaction
Special report: Focus on Germany
Commodities: Getting ahead of the curve
Special report: Focus on Germany
A collective move
Singapore regulation
Lean liquidity
Range accruals
Sounding the retreat
Hybrid securities
The vanna-volga method for implied volatilities
Cutting Edge - Option pricing
Variance swaps under no conditions
Conditional variance swaps are claims on realised variance that is accumulated when the underlying asset price stays within a certain range. Being highly sensitive to movements in both asset price and its variance, they require a very reliable model for…
Sizing up skew
Structured products providers' methods for hedging skew are fairly homogeneous. Some banks, however, are searching for ways to refine their approach to hedging by transforming skew risk into an investment palatable to sophisticated investors. By Rachel…
Mid-cap emerges
Equity derivatives
Stoxx launches global high dividend index
Stoxx, the European index provider, has launched the Dow Jones Stoxx Global Select Dividend 100 Index, adding to the Dow Jones and Dow Jones Stoxx Select Dividend index series.
DJ expands EU dividend index
Dow Jones has expanded its European Select Dividend Index Series to include the enlarged European Union (EU). The Dow Jones Stoxx EU Enlarged Select Dividend 15 Index is the first index that measures the performance of high-dividend yielding stocks in…
Tops down as convertibles change gear?
Convertible arbitrage's comeback in 2006 was one of the year's hedge fund highlights. Those left standing after the cull of 2005 might now have some room to breathe, but what is in the air, and which way is it blowing?