Implied volatility
Demand for Topix options gives dealers hedging headache
Institutional demand for Topix options outweighs supply and is creating basis risk for dealers hedging their positions
Advent Capital debunks convertible arbitrage myths
Myths and reality
Rational shapes of local volatility
Rational shapes of local volatility
Expanded forward volatility
Expanded forward volatility
Index roundup
Index roundup
The beta stochastic volatility model
The beta stochastic volatility model
Index innovation: Société Générale
Structured Products Asia Awards 2012
Luxury goods stocks continue to sparkle in Switzerland
Deutsche Bank says the luxury goods sector is especially promising in the current financial climate, while Bank Vontobel in Switzerland has launched its fifth structured product based on a basket of luxury and fashion goods
Quanto adjustments in the presence of stochastic volatility
It is well known that the quanto adjustment in the drift of the underlying has a significant impact on the prices of quanto options. Alexander Giese points out that an additional quanto adjustment in the underlying’s volatility needs to be considered in…
Cutting edge introduction: perturbing the smile
Perturbing the smile
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
Alternatively weighted risk premium indexes gain momentum
Index providers and fund managers who have tended to focus on performance are seeing demand from investors for strategy indexes that focus on risk
Structured products house of the year: BNP Paribas
Risk awards 2012
Cutting Edge: the year of CVA
The year of CVA
House of the year
House of the year
Filling the gaps
Filling the gaps
Market-consistent equity risk premiums
Market-consistent equity risk premiums
Filling the gaps
Filling the gaps
Volatility of volatility spike drives options liquidity squeeze
Volatility of volatility spike drives options liquidity squeeze
Market volatility sees potential payouts rise and interest in gold and volatility ETNs intensify
Market volatility sees potential payouts rise and interest in gold and volatility ETNs intensify
Product performance: reverse convertibles
Reverse convertibles are highly sensitive to volatility, which is one of the reasons that the coupons promised can be so high, but it is also why capital is very much at risk. FVC compares the virtues and workings of three such products from the US
From spot volatilities to implied volatilities
From spot volatilities to implied volatilities