News
Black-Scholes models lose favour for employee stock options
Companies around the world are likely to come under increasing pressure to change their valuation methodologies for employee stock option schemes from traditional Black-Scholes models to binomial approaches, according to the research department of Bear…
SG expands range of UK currency warrants
SG, the investment banking arm of French bank Société Générale, has launched warrants on the US dollar/yen and euro/US dollar currencies on the London Stock Exchange’s warrants market. SG said it also plans to launch warrants on the Japanese Nikkei 225…
ABN Amro shakes up forex division
ABN Amro’s current global head of foreign exchange options, Douglas Bongartz-Renaud, will transfer to a new role in the bank’s wholesale banking business as part of a reorganisation set to take place over the coming months, a source close to the bank…
Raft of dealers set to market-make Trac-x
A raft of investment banks will start making markets in Trac-x - the global suite of credit default swap indexes created by the merger of the Morgan Stanley's Tracers and JP Morgan Chase's Jeci indexes in April – within the next two weeks.
IBM rolls out SuperDerivatives for currency options
IBM has signed a multi-licence contract with London-based foreign exchange pricing company SuperDerivatives. The company will roll out the SuperDerivatives pricing system for currency options to the IT company's treasury team based in Armonk, New York.
BarCap hires Passaretta in LatAm derivatives drive
Barclays Capital, the investment banking division of UK bank Barclays, has appointed Gianluca Passaretta as director and head of Latin America interest rate derivatives trading.
Another dealer joins CJ 50 Index
Japan’s Aozora Bank has become the eighth credit derivatives dealer to join the CJ 50 Index, a multi-dealer credit index which tracks the 50 most liquid credit default swaps in Japan.
Summit markets new porfolio product
New York-based transaction processing technology company, Summit Systems, has started to aggressively market its new portfolio processing product, Summit FT. The web-based product offers instant delivery of real-time information across a range of primary…
Tokio Marine launches autumn foliage-linked derivatives
Japan’s Tokio Marine and Fire Insurance has launched autumn foliage-linked derivatives contracts referenced to the country’s daily precipitation index.
Derivatech wins first options risk software deal in China
Bank of China has licensed FX options software from US-based vendor Derivatech, in what marks the country’s first forex risk management software deal.
Escoffier replaces Annandale as SG’s head of UK derivatives
David Escoffier, formerly head of distribution for equity derivatives structured products at Société Générale in the Americas, has replaced Charles Annandale as head of equity derivatives in the UK.
BNP Paribas transfers Lazell to London as head of debt capital markets for European corporates
French banking group BNP Paribas has named Brian Lazell as head of debt capital markets in Europe for corporate borrowers. Lazell will transfer to London from Hong Kong, where he was head of credit markets, Asia-Pacific. In London, he will report to Paul…
Barclays links up with Mark-it
Barclays Capital has signed up to provide global historical and current credit derivatives data to Mark-it Partners, a UK credit data company. In return, the bank will have access to Mark-it’s credit price services, including daily mark-to-market data…
iBoxx launches €500 million of notes
Bond and credit default swap index company iBoxx yesterday debuted a €500 million issue of diversified notes as the latest of its credit default swap-based products.
Bank of Bermuda selects Reech FastVal for derivatives valuation
The Bank of Bermuda has selected Reech FastVal for its global fund services (GFS) division, which provides fund administration services to the alternative funds industry. Reech FastVal will be used to provide independent valuation or validation of the…
Icap extends use of Kalahari software
Inter-dealer broker Icap has extended its use of pricing software company Kalahari’s derivatives pricing system ‘Kace’ to its Singapore, Hong Kong and Sydney offices.
Basel Committee releases interest rate risk document
The Basel Committee on Banking Supervision released another draft of the "Principles for the Management and Supervision of Interest Rate Risk" this morning.
Commonwealth Bank of Australia issues five series of Shield CLNs
Commonwealth Bank of Australia (CBA) is issuing five series of credit-linked notes (CLNs), maturing on September 4, 2006 and referenced on a portfolio of 100 equally weighted investment-grade credits.
Ontario Teachers’ Pension Plan licenses credit risk software from Kamakura
Ontario Teachers’ Pension Plan, Canada’s second largest pension fund, has licensed credit risk modelling software from Honolulu-based Kamakura.
Eurex and BOTCC finalise agreement on US exchange
European derivatives exchange Eurex has finalised the terms of a clearing agreement with the Board of Trade Clearing Corporation (BOTCC), opening the way for the launch of a new US exchange next year.
Omhex starts operations
Omhex, the company formed by the merger of Sweden's OM Technology and Finland’s Helsinki Exchanges (Hex), which operates the country’s derivatives exchange, started trading today.
Gain Capital takes $10 million investment from Tudor
Gain Capital, the foreign exchange trading platform aimed at middle-market traders, has secured a $10 million investment from Tudor Ventures, the venture capital and private equity arm of Tudor Investment.
SG appoints interest rate derivatives marketer
SG, the investment banking arm of French bank Société Générale, has appointed Arun Jagannathan from Merrill Lynch to sell interest rate derivatives and structured products to German and Austrian banks.
Reuters enters the op risk software market
NEW YORK - Reuters is the newest player in the op risk software field. The global information technology company is preparing to launch an as-yet-unnamed op risk software solution in the next two months, says Julian Fisher, head of operational risk at…