Vega
Viva Las Vega: Japan banks take advantage of volatility play
Viva Las Vega!
Uridashi losses put at $500 million after Nikkei rebounds
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the…
Japan dividend futures in virtuous circle
Virtuous circle
Velocityshares implosion puts leveraged ETNs in the frame
Terminal Velocity
Korea ELW crackdown leaves traders unhedged
Dealers are left unable to hedge ELS positions as liquidity dries up in Korea’s warrant market
The ETN that grew too fast
The ETN that grew too fast
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
CMS: covering all bases
CMS: covering all bases
RBS retains structured products in restructure
Trimming the fat
RBS cash equities exit could hike hedging costs
RBS will have to pay more to hedge vega from its equity derivatives business after losing offsets provided by cash, rivals say
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
Selling volatility and correlation remains popular, but is it safe?
Making way for the money-spinner
Diggle to re-launch Asia long volatility fund under new vehicle; inflation hedging another target
Stephen Diggle, co-founder of defunct Singapore hedge fund Artradis, which closed after incurring losses of $700 million, will re-launch an Asian long volatility fund under his new vehicle Vulpes Investment Management in May.
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…
Equity derivatives house of the year: Société Générale
Risk awards 2011
Curbing dispersion exposure
Dispersion tactics
Volatility: the next mainstream asset class?
A volatile time
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
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
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are…
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are…
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…