Equity markets
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Markovian projection for volatility calibration
Vladimir Piterbarg looks at the Markovian projection method, a way of obtaining closed-form approximations of European-style option prices on various underlyings that, in principle, is applicable to any (diffusive) model. The aim is to distil the essence…
Realised volatility and variance: options via swaps
Volatility Options
Saving for a rainy day
Liquidity Risk
A growing gap
More and more dealers are entering the hedge fund derivatives market, and ever more complex structures are being launched. But while the fund-linked derivatives market has grown strongly, there is little consensus on the best way to manage the risks…
Credit Suisse hires in equity derivatives
Credit Suisse has announced a number of hires in its equity derivatives business.
Plus ça change
macroeconomics
Why eclectic excellence is the key unlocking 3C's success
3C has an interesting range of funds and is launching into another based on options and futures trading, so bringing its investors returns from private equity, through to a Japanese product focused on the China growth story, as David Walker reports
The aspects of uniformity
academic paper
Of spikes and sell-offs
Equity derivatives - Volatility
Introduction
Equity derivatives
Nowhere to run
Equity derivatives - Non-recourse financing
Corporate consolidation
Corporate risk
Purchase timing
Managing purchase timing risk is a constant issue for wholesale power buyers. Pavel Diko reviews products that reduce this risk, proposes a lookback option that can eliminate it completely and outlines a hedging strategy for the option writer
Passing the test
Equity derivatives - Algorithmic trading
Seeking the hidden volatility
Practitioner profiles
Spanish structures
Conference report
NDX aims for Finland
Profile
Banking on a fall
Cover story
Germany's search for clarification
Conference report