Technology
Correlation - The energy price factor
Navneet Arora provides empirical evidence that significant correlations exist between the movements of commodity prices and the credit quality of firms in the energy sector
At the flick of a switch
Jesper Andreasen and Martin Dahlgren present a regime-switching model for electricity derivatives that incorporates spiky spot-price dynamics and allows for closed-form pricing of forwards, options and swaptions
Market graphic - The argument for short mezz/long index
Anticipating a sharp correction to spreads over the next few years, Andrew Feldstein, senior portfolio manager at BlueMountain Capital Management, puts forward a case for a short mezzanine tranche/long index position
GFI group - The 'dequity' house
Debt and equity arbitrage is a hot topic at the moment and inter-dealer broker GFI believes it has established a head start in this area by merging its debt and equity brokerage and data businesses. Saskia Scholtes talked to three senior executives from…
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New angles
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