Asia Risk
Repercussions from rupiah stability
Regulation radar - Indonesia
Dark clouds descend
Cover story
Cleaning up the buy side
Data management
A dynamic model for hard-to-borrow stocks
Traders with short positions in stocks that are subject to short-selling restrictions risk being 'bought in', in the sense that their positions may be closed out by the clearing firm at market prices. Marco Avellaneda and Mike Lipkin present a model for…
Toughing it out
Equity derivatives
Regulatory backlash
Editor's letter
Foreign exchange
Calm and considered
Pricing options on film revenue
This article illustrates two models for cumulative revenues from films, a time-changed gamma process and a compound Poisson process, and how these models can be used to price options. Don Chance, Eric Hillebrand and Jimmy Hilliard find that while both…
On the move
People
ASIC lifts ban on shorting financials
Investors welcome easing of restrictions but say damage already done
Getting it right
Special Report: Foreign exchange - Corporate hedging
A sense of déjà vu
Letter to the editor
The push to CCP
Feature
The fast track
Modern trading and risk technology systems are large and complex, but banks are becoming increasingly wary of running into implementation difficulties. As a result, technology vendors are packaging their systems so they are quicker and simpler to get up…
Return of the linker
Inflation
Blossoming interest
Foreign exchange derivatives trading levels suffered declines this year as hedge funds and other players partly stepped back from the market. But the asset class remains liquid and is attracting a new breed of market participants. Hardeep Dhillon reports
Firefighting to fire prevention
Risk Japan 2009