Worst-of baskets
Swiss autocalls ‘10% away from disaster’ as Roche shares slide
Popular ‘worst-of’ products flirt with downside barriers, but issuers see no cause for hedge alarm
Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Structured products house of the year: Citi
Risk awards 2022: Future-proofing against jack-knife market moves gives US giant the edge with clients
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
Banks tout new structures amid Korean autocall resurgence
Modified structured products still popular as banks learn lessons of China crash
FVC analysis: stress testing worst-of autocalls
Dual- or triple-index products offer higher potential gains but carry increased risk
FVC review: Barclays dual-index autocall pays monthly coupons
Short-tenor product tied to Euro Stoxx 50 and Russell 2000
How ‘worst-of’ strategies can outperform index-linked products
Stock-based structured products can outperform index-linked counterparts but rigorous analysis is key
FVC review: Investec launches worst-of dual-index note
Product will pay 5.95% annually if FTSE 100 or Euro Stoxx 50 are above 65% barrier on coupon date
Pricing multi-asset trades – part two
Correlation sensitivity in multi-asset structured products explained
Breaking correlation breaks
Breaking correlation breaks
JP Morgan taking Autoquote to Japan and Europe
JP Morgan is expanding its automatic email pricing system to new markets and client bases outside of Asia.