Risk magazine
Euronext.liffe beefs up French options
Euronext.liffe, the derivatives arm of European exchange group Euronext, has increased the size of its CAC40 index options by a factor of ten.
Size matters, finds Greenwich survey
The ability to execute large currency trades is one of the key components in winning new FX business from corporates and institutional clients, according to latest research from Greenwich Associates.
Lehman boosts European equity derivatives unit
Lehman Brothers has hired three former JP Morgan equity derivatives specialists to beef up its European business.
Lehman Brothers beefs up structuring capability
Lehman Brothers has poached Giuseppe Bivona from Morgan Stanley to originate capital markets products and market structured solutions to Italian banks. He worked as head of the financial institutions group for Italian clients at Morgan Stanley.
GM and Ford downgradings catch dealers off guard
A wave of frenzied trading on Thursday afternoon was triggered by Standard and Poor’s downgrading of General Motors and Ford Motor, and their financing units, to junk status, driving credit spreads to record highs.
Rodriguez quits JP Morgan interest rate sales team
Tracey Rodriguez has resigned from JP Morgan Chase, where she worked as a senior salesperson in London, covering interest rate products and reporting to desk head Sikander Ilyas.
JP Morgan and SunGard collaborate on collateral management system
JP Morgan Chase and SunGard have teamed up to create a collateral management system based on SunGard’s Adaptiv product for over-the-counter derivatives. Aimed at smaller end-users, it will allow existing JP Morgan clients, such as corporate treasurers,…
Deutsche hires Ritter to head commodities
Deutsche Bank has hired Mark Ritter as global head of commodities.
BNP Paribas hires derivatives marketer in NY
BNP Paribas has appointed Jerry Hammerschmidt as a senior equity derivatives marketer and managing director in its New York office.
Time to smile
Cutting edge: Option pricing
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…
Buying into commodities
Commodities
Turning to Europe
Inflation futures
Impetus from overseas
Japan
Bringing inflation to life
Life insurance
Inflation
Introduction
Expectations dashed
Hedge funds
A broader investor focus
CDO managers
End of a drought?
Corporate issuers
The write option
Covered calls
Structured products
Introduction
Plugging the gaps
Portfolio management