Equity markets

Positive performers

The inclusion of a convertible arbitrage hedge fund strategy in a well-diversified alternative assets portfolio makes sense, especially in the current climate

Lehman to structure South Korean equity-linked securities

Lehman Brothers plans to structure 2.5 trillion won ($2 billion) of South Korean equity-linked securities to be issued and sold by two domestic securities firms in South Korea. The move follows regulatory changes at the end of February that allowed…

Capturing the smile

Since the discovery that traditional calibration methods fail to capture the dynamics of the smile, new approaches based on mixtures or ensembles of models have been developed. Simon Johnson and Han Lee present a variant of this approach that can be used…

South Korea reclassifies ELNs and warrants

South Korea’s Ministry of Finance and Economics (MOFE) has reclassified equity-linked notes (ELNs) and warrants as securities under the country's revised Securities and Exchange Act, according to an official at the MOFE. The move – which came into effect…

Risk management based on stochastic volatility

Risk management approaches that do not incorporate randomly changing volatility tend to under- or overestimate the risk, depending on current market conditions. We show how some popular stochastic volatility models in combination with the hyperbolic…

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