Equity options
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Equity derivatives house of the year: JP Morgan
Risk awards 2012
Morgan Stanley VolNet index series dynamically goes long volatility
Morgan Stanley VolNet index series dynamically goes long volatility
Equity structuring resurfaces as Japanese investors hunt for yield
Japan has emerged as a fertile market for equity funds and now a structured equity fund has also caught the eye of Japanese investors hungry for yield in a low-interest environment.
Curbing dispersion exposure
Dispersion tactics
Right time to overwrite
Call overwriting
Basel Committee announces "no action" on accounting issues
On Tuesday the Basel Committee on Banking Supervision issued a press release on the potential impact on regulatory capital of the implementation of certain International Financial Reporting Standards (IFRS).
FASB's stock option rules spur pricing model developments
Academics and consultants are rushing to bring out new equity option pricing models in the wake of the controversy surrounding the US Financial Accounting Standard's Board (FASB) rule 123 on accounting for stock-based compensation.
Dealing with discrete dividends
Over the past year, we have published several papers on the issue of options on stocks with discrete dividends. At least three distinct models are used by practitioners, involving trade-offs between accuracy and tractability. Here, Remco Bos, Alexander…
PHLX Rigs Database For Contingency
When its internally developed database began showing signs of strain from rising options volumes, the exchange sought a new disaster recovery solution. Its choice: an in-memory database.
Finessing fixed dividends
Equity options
A discrete question
How should discrete dividend options be modelled in an equity option pricing framework? As Volf Frishling warns, unthinking use of certain models to solve this problem can lead tosignificant mispricing in some situations
Hong Kong plans to extend derivatives trading hours
The Hong Kong Exchange (HKEx) is consulting the industry on whether to extend the trading hours of Hong Kong stock-related derivatives and their underlying assets. Currently, stock options and futures contracts are traded for a total four and a half…