Euro Stoxx 50
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Eurozone funds favoured US equities in Q2
Investment funds also bought up eurozone bank stocks
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Eurostoxx dividend futures see trading frenzy
December 20 contracts drop 39% in March
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
Autocalls hit peak vega, where hedging costs mount
Eurostoxx and Nikkei losses flip structured product dealers into painful short vol territory
SG offers won hedged indexes for Korean autocall clients
Local currency benchmarks cut forex hedging cost for clients and boost yields, bank says
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
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
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
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
Autocall hedging set to push Euro Stoxx volatility higher
Rising index likely to trigger increased volatility, say dealers
Exchange of the year: Eurex
Risk Awards 2017: Futurisation paying off as bilateral margin rules bite
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
Volatility traders wrestle with digital risk of Brexit
Skew on major indexes leaps after market wakes up to risks of UK's referendum
Structured product hedgers shun Eurex quanto futures
Maturities too short to hedge autocallable books, say dealers
Intraday Volatility Forecast for Dax, Euro Stoxx 50 and Euro-Bund
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