Equity derivatives

The spike in equity volatility in May and June caused a few problems for hedge funds and proprietary trading desks. Believing volatility would remain stable or fall to historic lows, traders used variance swaps to short volatility. It's a trade that came back to bite them as equity markets plunged and volatility surged in mid-May.

Nonetheless, despite a very brief dry-up in liquidity, the variance swap market has remained pretty robust. Participation from a wider array of investors has driven

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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