Arbitrage
Passive funds turn predator in pursuit of pricing edge
State Street, Amundi, HSBC sharpen trading tactics to exploit index changes
Hedge funds cut CDS positions as basis trades diminish
Net long CDS positions fell by $117 billion from mid-2014 to end-2017
Podcast: Roos on swaptions arbitrage and benchmark reform
Benchmark reform means additional work for rates quants
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Falling margins force energy firms to expand data use
Verification and model challenges arise as volatility and margins dry up
Best specialist sub-$250m FoHF over 15 years: Culross Arbitrage Fund (Culross Global Investment Management)
Imperfect markets create opportunities for Culross, played out through different themes
BIS’s Shin links dollar strength to global malaise
Framework could answer many questions economists have struggled with in recent years
Auditors: the extra line of defence
If CDS skew spikes, some banks may be thankful for conservative accountants
Skewed views: banks, auditors split on CDS index trades
Views on risks and accounting treatment of arbitrage repack differ across the Street
Finite difference techniques for arbitrage-free SABR
This paper applies a variety of second-order finite difference schemes to the SABR arbitrage-free density problem and explores alternative formulations.
Basel arbitrage warning leaves dealers guessing
Banks told to avoid trades that offset regulatory adjustments, but details are thin
Eurekahedge data on individual fund performance – November 2015
The latest statistical information on top-performing FoHFs and hedge funds
Mariner Coria: the changing face of arbitrage
Fund manager exploits mispricings linked to structured products and derivatives end-user flows
Economists, like hedge fund traders, need open minds
Economists, risk managers and traders must learn the lessons of crisis, says Kaminski
Pension fund risk manager of the year: PKA
Risk Awards 2015: So smart, banks will pay to do business with Danish fund
FSB warns of spillovers from new bank structures
Some jurisdictions fear unintended consequences of reforms
Sympathy for the arbitrageur
Life has become more difficult for arbitrageurs - and other market participants should care
No arbitrage: New rules make markets 'less efficient'
Indexes may be less effective hedges in absence of arbitrageurs
China copper trading hit by commodity financing crackdown
Irregularities at Chinese trading house lead to liquidity tightness
Too many agencies involved in AMA for common approach
Regulator warns reaching common standard will be difficult
Crude-by-rail data gains in value for traders
As an increasing volume of crude oil is transported via North America’s railroads, market participants are growing hungry for data and market intelligence on crude-by-rail. Such insight had been in short supply, until recently. Alexander Osipovich reports
BlueMountain Credit Alternatives Fund: BlueMountain Capital Management
Americas Awards 2013