Call options
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
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Hedging of options in the presence of jump clustering
This paper analyzes the efficiency of hedging strategies for stock options in the presence of jump clustering.
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Bankers warn first TLAC bail-in could spark market shock
Regulators urged to clarify treatment of bail-in bonds under both TLAC and NSFR rules
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature.
Modelling the financial risks of wind generation with Weibull
The manner in which wind generation can affect the half-hourly APX price is discussed