Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
A total nine breaches are reported, averaging $14 million
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Official sees problems in draft regulation, says EU council and parliament are discussing them
Exchange groups have 30-month exemption from access rules; listed derivatives users concerned it will become permanent
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
Gamma deserves share of spotlight in volatility drama
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
Russian market participants edgy after settlement leaves disclosure duties unclear
Risk Awards 2018: Chicago firm makes big hires and pushes into new derivatives products
This paper considers the problem of enhancing an investment activity by regularly adding an option trade to the portfolio mix and presented results for the single underlier of the S&P 500 index, with the underlying activity being either long the index or…
This paper extends and refines the method of option pricing by frame projection of risk-neutral densities to incorporate B-splines.
In this paper, the authors propose a new method of constructing volatility surfaces for foreign exchange options.
In this paper, the author considers a special type of nonlinear PDE that arises by applying optimization to some financial problems.
This paper introduces a local volatility model for the valuation of options on commodity futures by using European vanilla option prices.
Computers could be used to spot kinks in volatility surfaces
In this paper, the author proposes a method to estimate the tail shape parameter of the risk-neutral density.
Lorenzo Bergomi exposes a condition important to the use of LSV models in trading