Equity markets
Fieling blue in Japan
Structured products
Quants' tail of woe
Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne…
An unhealthy obsession
Editor's letter
Deutsche amplifies European ETF business
Deutsche Bank has launched 18 new db x-tracker ETFs on the London Stock Exchange (LSE) which provide exposure to domestic and international equity markets.
Spike in equity volatility causes pain
A spike in equity volatility last month has caused anxiety among equity derivatives dealers, many of which were short volatility, and raised fears that a prolonged increase could generate hefty mark-to-market losses in equity derivatives trading books.
First Trust expands with new ETFs
ETF specialist First Trust Portfolios has launched two new ETFs on the American Stock Exchange (Amex): the FTSE Epra/Nareit Global Real Estate Index Fund and the Dow Jones Stoxx Select Dividend 30 Index fund.
Which way is up? - measuring performance
academic paper
ETFs bear fruit
Pension funds
Italy's forza strutturata
Profile
Volatility in vogue
Cover story
Index round-up
News
Environmental indexes
Indexes
Miffed and structured products
Regulation
Rush for assets
Infrastructure
Calibrating and pricing with embedded local volatility models
Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate/equity hybrids is an important issue. Here, Yong Ren, Dilip Madan and Michael Qian Qian show how this can be accomplished, using a…
Steps to success
Risk Australia Rankings 2007
Deutsche Börse lists Lxyor’s emerging markets ETFs
Deutsche Börse has listed Lyxor Asset Management’s emerging markets ETFs on the XTF segment of its trading platform Xetra. While three of the four new index funds track emerging markets indexes, one tracks the DJ Eurostoxx 50 Index.