Call options
Lincoln, Global Atlantic push JPM to index options top spot
Counterparty Radar: Among life insurers, options notional grew 7% in Q1
How a machine learning model closed a hidden FX arbitrage gap
MUFG Securities quant uses variational inference to control the mid volatility of options
Modeling the bid and ask prices of options
The authors investigate and partially solve theoretical and empirical problems for the joint modelling of bid and ask prices.
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
Options liquidation can be costly. How costly?
New model uses open interest and volume data to calculate the expense of selling an options portfolio during times of stress
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
Hedge funds push yen options bets to next BoJ meeting
Target shifts as vol punts on change to rates policy fall flat
MSIM option strategy set for payout
Manager has spent over $400 million buying options that have yet to generate returns – until now
UK budget gives sterling options traders a wild ride
Reaction to tax cuts sparks most active week for GBP/USD options traders since Brexit negotiations
Virtus, FT boosted sold single-stock calls amid Q2 contraction
Counterparty Radar: US mutual fund managers cut $4.3 billion in individual equity options
T Rowe, JP Morgan AM defy equity index options retreat
Counterparty Radar: US mutual funds cut $15.4 billion from their books in Q2 2022
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
Mutual funds dialled up bullish bets with stock options in Q1
Counterparty Radar: Market contracted by $3.9 billion as US managers decreased sold calls
Power-reverse to the future: falling yen revs up PRDCs again
Pressure on Japanese unit sparks revival in power-reverse dual currency notes
Hedge funds pile into renminbi FX options
Investors target call spreads and RKOs in what traders say is one of 2022’s most profitable trades
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
US funds sold single-stock calls, bought puts ahead of downturn
Franklin Templeton, BlackRock, Calamos built defensive positions in Q4 2021
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
Structured products house of the year: Goldman Sachs
Asia Risk Awards 2020
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift