Equity derivatives
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
Mattatia makes surprise move to MSCI
Former SG equity derivatives structurer was set to join BNP Paribas
Equity modelling with local stochastic volatility and stochastic discrete dividends
SocGen quants calibrate local stochastic volatility models with stochastic dividends
OCC margin breaches spike in Q1
Peak exposure of $363 million in three months to March 31
Asia Risk Interdealer Rankings 2018: The winners
Societe Generale and BGC top the tables
UK derivatives market continues to shrink
Gross market values lowest since December 2007
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
BNPP beats SG on equity trading
Equity and prime services revenues surge 19.3% at BNPP
Mattatia heads to BNPP amid SG departures
Derivatives structurer to resurface at Paris rival; Quessette becomes latest to leave SG
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
Stephane Mattatia to leave Societe Generale
Equity derivatives structuring veteran jumps ship for rival bank
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Validation of profit and loss attribution models for equity derivatives
The aim of this paper is to validate profit and loss attribution generated by daily movements of option prices as seen through their Black–Scholes (Black and Scholes 1973) and Merton (1973) implied volatilities.
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Hong Kong prepares boost to equity derivatives booking
Proposed revamp of large exposure limits would allow netting to reduce capital charges
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Confusion plagues start of Mifid swaps reporting
Firms reach inconsistent conclusions on scope of transparency requirements
Equity derivatives house of the year: Societe Generale
Risk Awards 2018: From geometric dispersion to fund derivatives, the French bank combines popular products with risk recycling strategies
Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
Haitong: a spotlight on the regional ambitions of Chinese firms
Risk30: Chinese securities house Haitong is going with the flow
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
Korean autocallable volumes double as HSCEI rallies
Diversification of underlying investment and additional protection options also behind revival