Dispersion
The future of emerging markets – 30 years on from the launch of the MSCI Emerging Markets Index
For the past 30 years, emerging markets have provided return enhancement and risk diversification opportunities for global equity investors. The opening of the domestic Chinese capital market and its integration into international markets is likely to…
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Correlation skew via stochastic correlation and jumps
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
Hedge funds pile into Japan dispersion trade
Rise in single stock uridashi issuance drives trade
Increased structured product sales reboot Asian dispersion market
Dispersion trades return to Asia but dealers say this time the risks involved are manageable
Selling volatility and correlation remains popular, but is it safe?
Making way for the money-spinner