Quant says a new machine learning technique could change the way banks hedge derivatives
This study investigates international stock index arbitrage opportunities between seven blue-chip indexes in Asian, European and US time zones over a twenty-year time horizon.
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
CCP touts method for speeding up manual settlement process as rival Ice gears up for options launch
After volatility surge, buyers give up coupons for better chance of early redemption
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Non-EU benchmarks have until 2020 to comply, but swaps contracts may need to change immediately
The authors investigate the underperformance of delta-hedged option portfolios in relation to ex ante moments of the stock market’s return distribution.
Lack of liquid options on European mid-cap benchmarks leaves investors stuck with the blue chips
Volatility benchmarks will follow launch of equity options later in 2014
But rejects price efficiency of US index options trading
Dealers say volumes have been light as market participants try to work out scope of bans – with confusion arising on index trades and the geographic reach of the rules