Equity markets
Corridor variance swaps
This article studies a recent variation of a variance swap called a corridor variance swap (CVS). For this swap, returns are not counted in the realised variance calculation if the reference index level is outside some specified corridor. CVSs allow…
What’s a basket worth?
Peter Laurence and Tai-Ho Wang take a significant step in the valuation of basket options with positive and fixed weights. These model all index options, price, cap or equal weighted. Departing from the usual Black-Scholes framework, the authors provide…
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Columnist
Year of the note
Retail products
The return of equity
Private banking
The novel structurer
Profile
Reverse cliquets: end of the road?
Plunging equity volatility in the past six months may have hit dealers’ reverse cliquet and Napoleon hedge positions
Corridor variance swaps
This article studies a recent variation of a variance swap called a corridor variance swap (CVS). For this swap, returns are not counted in the realised variance calculation if the reference index level is outside some specified corridor. CVSs allow…
What’s a basket worth?
Peter Laurence and Tai-Ho Wang take a significant step in the valuation of basket options with positive and fixed weights. These model all index options, price, cap or equal weighted. Departing from the usual Black-Scholes framework, the authors provide…
A potential backlash
Wealth management
Challenges ahead
Comment
Convertibles set to exploit renewed bond issuance after disastrous 2003
Convertible managers could buy into new issues, but still face low volatility difficulties
European volatility offers funds a chance to prosper
The Eurozone may be growing, but not everybody believes it. Managers, it seems, must be ready for anything
Credit 2003 - Deals of the year
Deals of the year
2004: end to the easy money
Credit of the month
Arbiter of arbitrage
Profile
No strings attached
louise purtle
First aid or last resort?
rescue finance
SG to offer UK retail investors exposure to China
French investment bank SG, part of Société Générale, will offer UK retail investors exposure to the performance of Chinese equities from tomorrow with the launch of a new warrant linked to the Hang Seng index.
Japan comes of age
As the economic climate changes in the Land of the Rising Sun, hedge funds are rapidly expanding to become a high-profile investment option
Index volatility surface via moment-matching techniques
Peter Lee, Limin Wang and Abdelkerim Karim present a basket construction technique using Gram-Charlier-Edgeworth expansions. They show how to express basket option skews and smiles in terms of its underlying components, and demonstrate how market…
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Electronic trading: Profiles
Insurance: are you sure?
Credit of the month