Dynamic hedging
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Cutting edge: Hedging price and volumetric risks of fixed-price load-serving contracts in natural gas markets
Tullett Prebon launches private equity hedge for Solvency II
Will reduce capital charge by at least 75%, inter-dealer broker claims
Managing Solvency II's equity capital charge
The volatility challenge
An easy-to-hedge covariance swap
An easy-to-hedge covariance swap
Valuation of commodity structures in co-integrated futures markets
Valuation of commodity structures in co-integrated futures markets
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Cutting edge: valuing and dynamically hedging natural gas storage
Hedging the extrinsic value of a natural gas storage
Index innovation of the year
Index innovation of the year
Lack of credit for dynamic hedging in QIS 5 driven by ideology, not economics
Old Mutual questions the lack of capital credit for dynamic hedging in QIS 5
Mining companies vulnerable on lack of hedging programmes
A substantial number of mining companies refuse to have a hedging programme, leaving them vulnerable to a possible sharp drop in prices
A dynamic model for leveraged funds
Guido Giese derives a model for the performance and Sharpe ratio of leveraged and inverse index funds that follow a dynamic leveraged trading strategy, that is, they are rebalanced on a daily basis to ensure a constant degree of leverage with respect to…
SIP Nordic takes dynamic strategies to UK IFAs
SIP Nordic’s UK arm and RBS are bringing structured products to independent financial advisers throughout the UK, with a focus on educating them about the products and the potential benefits they bring to a portfolio. Clare Dickinson talks to managing…
Energy structured deals: dynamic vs quasi-static hedging
Traditional pricing and hedging approaches often fail to work properly for complex energy structures due to market incompleteness, liquidity problems or unusual price dynamics. In this article, Stefano Fiorenzani suggests some specific adjustments that…
Corporate statement: Rise of the clone
Focus on replication strategies has increased significantly over the course of 2009. In this article, Citi explains the practical applications of the Hybrid Absolute Return Portfolio index and how investors can benefit from using this investment strategy
Absolute return strategies
Sponsored Statement
Currency Derivatives House of the Year - Deutsche Bank
Risk Awards 2008
Insurance optional
Asset/liability management
Static barriers
Exotic options