Equity markets
RiskNews review
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Cranks, academics and practitioners
Emanuel Derman ponders the difficulties in distinguishing among the three
Global derivatives rankings 2002
For Risk’s 11th annual inter-dealer rankings, we have refined our categories and polled hundreds of market participants to reveal which firms are the best in the business. Introduction and rankings compilation by John Ferry, with additional research by…
High-frequency trading: how great is the need for speed?
Just how important is speed? Risk managers and traders are weighing the value of high-frequency market data and trading technologies against their costs. Gallagher Polyn examines the debate over using high-frequency data in risk models, and profiles one…
Merrill Lynch targets Asian retail investors
Investment bank Merrill Lynch has finally joined the flock of institutions battling for Hong Kong’s retail investors, with the launch of its first publicly offered capital guaranteed fund, with more issues planned in the coming months.
Lehman finds link between high volatilities and SEC investor confidence measure
The Lehman Brothers equity derivatives and quantitative research group has found the current trend of high implied and realised volatilities for US stocks partly attributable to a US Securities & Exchange Commission (SEC) order aimed at bolstering…
Under fire
Are hedge funds the cause of volatility in investment markets?
A tough nut to crack
Legal impediments and excessive taxation have stunted the German hedge fund market. If these are eased there should be massive growth
Trees from history
Option pricing
A piece of the action
Equity derivatives
European banks report decline in equity derivatives volumes
Despite another surge in implied volatility this month, the European equity derivatives business has seen a decline in volumes in 2002, say dealers. Implied volatility on the FTSE reached a high of 39.5% this month, compared with the average daily figure…
SEC lifts final barrier to single-stock futures trading
The final barrier to the trading of single-stock futures (SSFs) in the US was removed yesterday when the Securities and Exchange Commission (SEC) approved customer margin rules. Earlier this month, the SEC’s regulatory partner, the US Commodity Futures…
Aquila backs Feinstein energy trading proposals
Missouri-based energy company Aquila today said it strongly supports Senator Dianne Feinstein's proposal for more aggressive Commodity Futures Trading Commission (CFTC) oversight of energy derivatives trading.
CFTC approves use of single-stock futures
A significant barrier to the trading of single-stock futures (SSFs) in the US was removed late yesterday when US regulator the Commodity Futures Trading Commission (CFTC) approved final rules for the use of the instruments.
measuring performance
A meaningful methodology to assess hedge funds is difficult to find
Options in both robust and troubled US market
With rationality returning to the US markets, long/short investment is a popular and effective strategy
On the log-log linearity of the size distribution of growth stocks
Mauboussin & Schay (2000)1 discovered an almost linear relationship between the logarithm of the market capitalisation and the logarithm of the rank for growth stocks. Kou & Kou (2001)2 proposed an explanation for this observation based on the theory of…
Esops: time to hedge?
With share prices depressed, now seems a good time for companies with large employee stock option plans to hedge them. Why aren’t corporate treasurers acting?
The evolving art of pricing cliquets
Cliquet options are widely traded and embedded in many retail structured products. But they are hard to value and some dealers claim their rivals are mis-pricing them. Navroz Patel reports on the debate and some initiatives that may help
Totem widens equity derivative valuation service
Totem Market Valuations, the London-based over-the-counter (OTC) derivatives valuation specialist, is to expand its service to include floored cliquet options this month.