Equities
Efficient valuation of equity-indexed annuities under Lévy processes using Fourier cosine series
This paper proposes an efficient algorithm to value two popular crediting formulas found in equity-indexed annuities – APP and MPP – under general Lévy-process-based index returns.
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
Fear of CTA sell-offs could trigger wider stampede
Trend followers could not roil markets alone, but anxiety about them might, say BAML analysts
Tools and techniques for safeguarding fixed-income portfolios
Sponsored webinar: FactSet
EC angers Mifid zealots on equities trading loophole
Systematic internaliser networks will be addressed within the existing rules, says Dombrovskis
Brexit preparations block Mifid third-country guidance
EU authorities see keeping rules vague as a way to maximise leverage in negotiations with UK
Systematic internaliser loophole ties Mifid in knots
Banks warn attempts to limit connections between SIs could undermine best execution
Trump victory: market whipsaw could spell exotics losses
Seesawing markets prompt speculation of big losses for structured product issuers
People: Citi names new global equities co-heads
Guenther rejoins BNP Paribas from Mercuria; Lacour takes helm at HSBC
Regulators have 'keen interest' in FRTB liquidity effect
Isda AGM: Japan central banker says regulators should analyse liquidity impact of capital rules
Under the radar: structural alpha in the small-cap equity market
This paper identifies a number of structural inefficiencies in the US small-cap equity market that may be exploited to generate alpha.
New frontiers in investment strategies – Combatting the low interest rate environment
Sponsored feature: Standard Life
Index providers clash over evolution of multi-factor products
Battle of ideas on how best to offer new wave of smart beta exposures heats up
Riskology: Did markets overreact to China sell-offs?
Analysis shows markets can be overly sensitive to single-factor events
Rekindled affection: transitional measures spur equity rethink
Some firms increasing holdings to benefit from grandfathering
BNPP makes first big options trade on Nikkei 400 index
Hedging remains an issue until futures are launched in November
Lookback: FCA reviews RDR implementation
UK regulator checks 'independent' status of IFAs
Trading strategies via book imbalance
Predicting equity and futures tick by tick price movements
ETF roundup: low rates lead to fixed-income ETP record
February sees $11.4 billion of inflows
Profile software readies market data mobile app
Athens-based technology provider Profile Software has launched a new mobile app, dubbed Plexus, which allows users to monitor real-time data and news on their iPhone and iPad devices.
No increased possibility of 2014 equity correction
Unpredictable equity