Options
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Forex options clearing complicated by guaranteed settlement requirements
CPSS-Iosco guaranteed settlement requirements make foreign exchange options clearing more difficult, say participants
CBOE relaunches credit event binary options
CBOE relaunches credit event binary options
Nigel Khakoo to leave Citi
US bank's global head of G-10 options trading has been made redundant
Asia readies for new hedge accounting rules
Brought to account
Australian regulators suggest clearing exemption for foreign exchange
Reserve Bank of Australia discussion paper commits to harmonising rules with US and Europe
Algorithmic trading in energy
The hare and the tortoise
LCH.Clearnet confirms FX options clearing for 2011
Annual results confirm significant investment in developing clearing services for FX options
Artradis collapse a failure of judgement, not risk management, says co-founder Diggle
Artradis was one of Asia’s most successful hedge funds until it hit difficulties in 2009 and 2010 that resulted in losses of $700 million and culminated in its closure in late February. But the fund’s co-founder says error of judgement and a lack of…
Cutting edge technical: Carbon derivatives pricing
Carbon derivatives pricing: an arbitrageable market
Draft European clearing rules threaten Eurex business model
Analysts warn Council of the European Union proposals could hurt trading revenues at Eurex, as its owner, Deutsche Börse, pursues merger talks with NYSE Euronext
Henry Hub futures activity surges
Volume in Nymex’s benchmark Henry Hub natural gas contract exceeds 500,000 contracts for first time
Trade of the month: Volatility skew
Trade of the month: Volatility skew
The Universa approach to hedging tail risk
Profiting from disaster
Market snapshot
Market snapshot
First offshore renminbi swaption accomplished in Hong Kong
The first offshore renminbi OTC swap option was carried out this week between BNP Paribas and HSBC in Hong Kong, brokered by Icap.
Interest rates house
Structured Products Europe Awards 2010
Trade of the month: Digital payoffs
Digital options lead to two outcomes and are most commonly used with capital protected structured products.
Qantas’s head of risk: hedging programme is too conservative
Qantas Airways’ head of risk believes the company could take more risks within its hedging programme
Unwrapping Russian structures
Since the 1998 stock market crash, Russia’s financial sector has evolved to play host to a derivatives industry sophisticated enough to support the development of retail structured products. As well as introducing offshore products to the local market,…
Knock-on FX
Many banks are now including a credit charge in swap and forward transactions, while increased volatility has upped the cost of options. At the same time, the financial crisis has sparked a suspicion of complex products. How are corporate hedgers and…
Opportunity knocked
Tricky market conditions in inflation volatility, exacerbated by dealers’ structural hedging activity around 0% year-on-year inflation floors, have created a market rife with opportunities. But few clients are taking advantage. Mark Pengelly reports
