Autocallables
Reviving the lost art of perturbation for exotic pricing
Natixis quants find novel way to speed up volatility smile modelling
Singular exotic perturbation
A solution based on local volatility and sensitivities is proposed to calculate exotics' prices
Platforms bring structured products to the masses
Simon, Luma and Halo fuel 80% rise in volume of structured investments in US
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Volatile HSCEI spells vega misery for autocall issuers
Index in ‘peak vega’ peril despite Wednesday's 12.5% rebound
China stock slump hits snowball issuers
Sharp selloff in CSI 500 index threatens pain for local issuers of popular structured products
Podcast: Hans Buehler on the data science behind deep hedging
Top JP Morgan quant stresses importance of ‘de-trending’ training datasets used in machine learning
Structured products house of the year: Citi
Risk awards 2022: Future-proofing against jack-knife market moves gives US giant the edge with clients
Rough volatility moves to exotic frontiers
New simulation scheme clears the way for broader application of the rough Heston model
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
Sales of China’s snowball notes fall
Issuers point to tighter equity index basis and recent regulator warning over marketing of snowballs
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Structured products house of the year: Credit Suisse
Risk Awards 2021: private bank tie-up provided vital risk-sharing outlet for Covid volatility
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Asia’s private wealth giants shift gears to market-neutral
With interest rates low, structured product investors bypass capital-protected products for market-neutral strategies
Time to rethink Korean structured products
New battle lines are being drawn in Korea’s structured products market
Differential machine learning: the shape of things to come
A derivative pricing approximation method using neural networks and AAD speeds up calculations
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
Derivatives house of the year, Asia ex-Japan: UBS
Asia Risk Awards 2020
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Pressure grows on structured products as losses mount
Dividend-related losses at BNP Paribas may be higher than previously reported
How axed dividends left SocGen in a €200 million hole
Collapse in equity trading revenues prompts rethink of autocall hedging