Equity derivatives
Isda AGM: Rate of decrease in CDS notional falls
The rate of decrease in notional volumes of credit default swaps (CDSs) has slowed, according to the International Swaps and Derivatives Association’s year-end 2009 market survey, which was unveiled at its annual general meeting in San Francisco on April…
Between volatility and variance
Banks and investors were hammered on short single-stock variance positions during the financial crisis, leading many dealers to withdraw from the variance swap market. The alternative that some have reverted to is the volatility swap, although this has…
Putting the smile back on the face of derivatives
Cross-asset quadratic Gaussian models have been limited in the scale of their implementation by the difficulty in ensuring the correct drift conditions to omit arbitrage. Here, Paul McCloud shows how to exploit the symmetries of the functional form to…
The index artists
The past 12 months have posed a new set of challenges for the indexing and exchange-traded fund markets. But as delegates to the Art of Indexing Summit USA in New York heard on October 28, providers are adapting to the changed landscape. Now it is simply…
Open for hedges
India’s insurance sector has long been hamstrung by its inability to use equity derivatives. This is about to change with the country’s insurance regulator set to relax the rules on derivatives. But are India’s insurers ready for synthetic instruments?…
Sponsored statement: Sunrise brokers - a winning formula
Launched in 1991, Sunrise Brokers is a dominant force in the derivatives space. In this year's Risk interdealer rankings, Sunrise takes first place - for the third year running - in equity derivatives and dominates structured derivatives. Claude Amar,…