Model tuned to negative prices has implications for pricing, margining and delta hedging
Dealers seek shutdown of CBBC market if futures go dark
An estimated $60 billion of structured notes are at risk of being called before year-end
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Flatter US yield curve spurs demand for a product with a painful history
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Dealers caught in danger zone as losses lurk on upside and downside spikes
This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts.
French bank says derivatives business will benefit from better prices and liquidity in underlying stocks
Surging volume and rising leverage expose issuers to gap risk on hedges
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Gamma deserves share of spotlight in volatility drama
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
In this paper, the authors show that single-asset trend strategies have built-in convexity, provided their returns are aggregated over the right time scale, ie, that of the trend filter.
The authors formulate a general structural model for an energy market in order to analyze the dynamic hedging of contingent claims on spot electricity prices.
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
Cross-gamma losses estimated at more than $25m for each dealer
How to calculate expected future carbon costs and optimal valuation and hedging decisions, by adjusting Monte Carlo simulations for the UK market
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
Options portfolios were impossible to delta-hedge, traders say
The cost of liquidation
Comparing delta-hedging strategies