Vega

Market snapshot

Tim Mortimer of Future Value Consultants looks at the pricing issues for structured products in different markets and provides his trade of the month

BoA's head of energy trading moves to hedge fund

Julian Barrowcliffe, formerly global head of energy trading for Bank of America in New York, has joined Vega Asset Management. In his new role, Barrowcliffe will manage a commodities trading fund for the New York-based hedge fund with $11 billion under…

Swap vega in BGM: pitfalls and alternatives

Raoul Pietersz and Antoon PelsserPractitioners who are developing the Libor BGM model for risk management of a swap-based interest rate derivative be warned: for certain volatility functions the estimate of swap vega may be poor. This may occur for time…

New products, new risks

Structured equity products marketed in Europe present considerable risk management challenges. The author shows the danger of using naive model-based approaches to price and hedge them.

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