Equity options
Currency risk drives EU equity fund derivatives use
Just 27.6% of Ucits equity funds traded derivatives in Esma sample
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
EU banks seek last-minute margin reprieve for equity options
European dealers want exemption rolled over, to avoid handing US firms a regulatory advantage
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
JP Morgan turns to machine learning for options hedging
New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
Skewing quanto with simplicity
George Hong presents an analytical method for pricing quanto options
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
Autocall dealers wary of Nikkei volatility surge
Dealers caught in danger zone as losses lurk on upside and downside spikes
Berkshire Hathaway dinged $300m by equity index options
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
BNPP targets US equities in new tie-up with GTS
French bank says derivatives business will benefit from better prices and liquidity in underlying stocks
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Bosses escape blame for options blow-up at Swedish bank
Court rules negligence by former managers and auditor of HQ Bank did not cause 2010 licence withdrawal
Volatility hedgers turn to gamma trades to stem slow ‘bleed’
Nearly $80 billion of gamma trades initiated in March and April as long vega strategies fare badly
Eurex margin flaws claimed in Swedish bank collapse case
CCP failed to properly capture vega, strike and wing risk, expert report claims
Equities slump could favour defensive structured products
Products with defensive strikes allow investors to make gains in falling markets
Dealers trash Section 871(m) reforms
Controversial tax reforms would foist “unworkable” compliance burdens on firms
US tax rules attacked by equity derivatives dealers
Testing criteria for equity-linked products branded a “joke”
Cutting edge introduction: Funding holes in Black-Scholes
HSBC quant builds funding costs and haircuts into Black-Scholes option pricing formula
China margin finance crackdown linked to equity option launch
CSRC looks for stock market stability ahead of country's first equity option launch