Call options
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
US funds sold single-stock calls, bought puts ahead of downturn
Franklin Templeton, BlackRock, Calamos built defensive positions in Q4 2021
Deep hedging: learning to remove the drift
Removing arbitrage opportunities from simulated data used for training makes deep hedging more robust
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
Structured products house of the year: Goldman Sachs
Asia Risk Awards 2020
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Hedging of options in the presence of jump clustering
This paper analyzes the efficiency of hedging strategies for stock options in the presence of jump clustering.
Covering the world: global evidence on covered calls
Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure and equity timing. This paper applies that attribution methodology to covered calls…
Bankers warn first TLAC bail-in could spark market shock
Regulators urged to clarify treatment of bail-in bonds under both TLAC and NSFR rules
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Approximation of the price dynamics of heating degree day and cooling degree day temperature futures
This paper proposes an approximation that makes the price dynamics of HDD and CDD temperature futures linearly dependent on the underlying temperature.
Modelling the financial risks of wind generation with Weibull
The manner in which wind generation can affect the half-hourly APX price is discussed
Managing option-trading risk when mental accounting influences prices
This paper explores the implications for risk management of mental accounting of a call option with its underlying.
How autocallable structured products came to dominate the retail market
Products still seen as easier sell than issuer-callables
A new framework for assessing product complexity
A model of complexity
Covered call ETFs bridging the gap between ETFs and structured strategies
Exchange-traded funds that buy call options on the underlying stocks are attracting big inflows in North America
Luxury goods stocks continue to sparkle in Switzerland
Deutsche Bank says the luxury goods sector is especially promising in the current financial climate, while Bank Vontobel in Switzerland has launched its fifth structured product based on a basket of luxury and fashion goods
Credit Suisse offers a knock-in with a low barrier
Prepared for knock-ins
Walker Crips tempts UK investors with commodities exposure
Commodity opportunities
US structurer of the year
US structurer of the year
Variety is the spice of life for La Caixa
Pick ‘n’ mixto
Product performance
Product performance