Indexes
An unusual existence
Equity Derivatives
Calibrating and pricing with local volatility models
Cutting edge - Option pricing
Quants' tail of woe
Liquidations of large quantitative equity portfolios prompted widespread misfiring of hitherto robust quant models. Historically unusual returns volatility and multi-billion-dollar mark-to-market losses ensued. Leading hedge fund managers talk to Jayne…
The risk of one
Fund Derivatives
Meteor’s Prima back with enhanced returns
Meteor Asset Management, the investment and retail products arm of Meteor Capital Holdings, has launched two new products: the Growth Plan 4 and the Galaxy Protected Commodities Plan 3.
Abbey releases capital-guaranteed bonds for wary investors
UK Bank Abbey has launched four new capital-guaranteed bonds designed to cope with the volatile market conditions. The products guarantee return of all capital at their four-year maturity and each tracks different international indexes, including the UK…
BME and FTSE launch responsible investment index
Spanish stock exchange Bolsas y Mercados Españoles (BME) and FTSE Group (FTSE) are to launch the FTSE4Good Ibex, a new responsible investment index comprising Spanish companies listed on BME’s markets, early next year.
South Korea, Taiwan again fail to achieve developed market status
London-based index provider FTSE Group has again left officials in South Korea and Taiwan disappointed, after it decided to keep them classified as advanced emerging markets, as it did in 2005 and 2006. The supplier of the world’s most used index series…
Lyxor offers access to Indian and South African markets
Lyxor Asset Management has launched two new ETFs on the London Stock Exchange: the Lyxor ETF South Africa and the Lyxor ETF India.
RBS offers Easy Express and Relax in Germany
RBS has launched two new structured products for the German retail market, both linked to the performance of the DJ Eurostoxx 50 index.
L & G hitches up return rates on Capital Guaranteed Bond
Legal & General has increased the minimum return on its Capital Guaranteed Bond 4. The structured product, launched earlier this year, now offers either 50% of FTSE 100 growth or a return of 30% gross (4.47% AER), whichever is greater, with no cap.
RBS launches first structured fund for private banking
RBS has launched a Ucits III-compliant capital protected six-year close-ended fund for NatWest and RBS private banking. The fund, domiciled in the UK, aims to achieve a target minimum return of 25% or 60% of the growth in the FTSE 100 Index – whichever…
Spike in equity volatility causes pain
A spike in equity volatility last month has caused anxiety among equity derivatives dealers, many of which were short volatility, and raised fears that a prolonged increase could generate hefty mark-to-market losses in equity derivatives trading books.
First Trust expands with new ETFs
ETF specialist First Trust Portfolios has launched two new ETFs on the American Stock Exchange (Amex): the FTSE Epra/Nareit Global Real Estate Index Fund and the Dow Jones Stoxx Select Dividend 30 Index fund.
ETFs bear fruit
Pension funds
Whither the benchmark?
Benchmarks
Meteor: a rising star
Profile
Volatility in vogue
Cover story
Product round-up
News