Equity markets
We have lift-off
The Contracts for Difference market is enjoying explosive growth at the moment, says Cate Rocchi
The vol smile problem
The author examines a wide range of volatility smile models in the context of the liquidity of the forex options markets
Losses and lawsuits
LOSS DATABASE
Job moves
QUOTE OF THE MONTH: - “I can’t get rid of the stupid thing” Lev Borodovsky, co-founder of Garp, describing difficulties negotiating a transfer of ownership Source: RiskNews, January 16
The Shaker philosophy
David Webb describes his investment strategy on the Shaker Heights Fund
BOTCC to process Nasdaq Liffe
Nasdaq Liffe Markets (NQLX), in a preparatory move before the start of trading in single-stock futures (SSF) in the US, agreed to let the Delaware-based Board of Trade Clearing Corporation (BOTCC) process certain deals known as 'give-ups'.
A discrete question
How should discrete dividend options be modelled in an equity option pricing framework? As Volf Frishling warns, unthinking use of certain models to solve this problem can lead tosignificant mispricing in some situations
Review of the year
A look back at the significant risk events of 2001.
Barra launches Risk Factor
Barra, the California-based risk management systems vendor, has launched an equity volatility software programme, Risk Factor. Aimed at retail brokers, Risk Factor is designed to compare the relative volatility and likely performance risk of more than 10…
Open interest on E-mini futures surges; S&P 500 vol relents
Open interest on Nasdaq 100 and S&P E-mini futures contracts, electronically traded index futures and options that are smaller than standard futures contracts, has increased by 63% and 15%, respectively, since October. The ratio of open interest to…
ICI prospects looking bleak
Limited upside potential
Icap recovers after WTC attacks
Icap, the word’s largest inter-dealer broker, says that a busy period for its interest rate swaps business during October and November, due to economic uncertainty and volatile interest rates across the globe, helped spur a 22% rise in global revenues,…
CFTC makes amendments to CFMA 2000
The Commodity Futures Trading Commission (CFTC) has released the final rules relating to the trading of equity futures products in the United States. These rules implement provisions of the Commodity Futures Modernisation Act of 2000 (CFMA) that lift the…
Identifying investor preferences
Giovanni Beliossi talks to Cate Rocchi about assessing risk for increased and sustained returns
Icap recovering after WTC tragedy
Icap, the world’s largest interdealer broker for interest rate swaps, has substantially rebuilt its New York broking business following the loss of its entire New York offices, which took up three levels in the World Trade Center (WTC).
Real-time Accounting For Op Risk
TRICKS OF THE TRADE
RiskMetrics Integrates FX Implied Volatility, Smile Into DataMetrics
METHODS & REGULATIONS
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