Call options
Kempen's property sector play
Access to property
Americas House of the Year
Structured Products Americas Awards 2010
The callable countdown
JP Morgan has launched a callable countdown constant maturity swap range-accrual certificate of deposit that pays a coupon dependent on the proportion of days the CMS rate is within a 0-6.25% range. The tenor is 15 years and the product benefits from…
Product performance
We compare principal-protected, accelerated growth and reverse convertible products with May 2009 strike dates
Asian basket spreads and other exotic averaging options
Giuseppe Castellacci and Michael Siclari of OpenLink introduce a class of exotic options that simultaneously generalises both Asian and basket options. They develop approximate analytic models for real-time pricing of complex instruments that average…
Rates of skew
Interest rate models