Interest rates
Negative carry presents corporate hedging conundrum
Steep interest rate yield curves cause corporate treasurers to focus on the cost of carry.
Banca Fideuram focuses on clarity
Tightening spreads are making it more difficult for banks to factor protection into their products and although the market is stabilising, having protection and products they understand is still an important factor for Banca Fideuram’s customers. Clare…
Now you PRDC them...
Power-reverse dual-currency notes proved a bonanza for dealers when markets were tame, but risk-managing the product has become a drain on resources and cash in recent years. As a result, some firms have decided to exit the market. Mark Pengelly…
Market snapshot
Tim Mortimer of Future Value Consultants looks at the pricing issues for structured products in different markets and provides his trade of the month
2010: what's in store?
With the direction of markets uncertain and no consensus on the future of interest rates, inflation and a multitude of other financial indicators, Structured Products talked to professionals in Asia, the US and Europe about their views on what 2010 may…
Information of interest
The flow of information in financial markets on future liquidity risk generates the rise and fall of demand for default-free bonds. Here, Dorje Brody and Robyn Friedman present an approach to pricing these bonds and the associated derivatives, based on…
Big risk in Japan
RBS issued a one-year income product linked to five Japanese stocks in March 2008, paying 3% interest plus a variable capital repayment. Three of the stocks fell through their barriers, putting capital at risk and making for a capital return of only 39%
Building a new house
International Derivatives Clearing House, a new clearing service for interest rate swaps, was launched in December. Christopher Edmonds, its chief executive, talks to Ryan Davidson about the venture
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are…
Feeling deflated
The consensus is that interest rates are headed for zero in 2009, with even the long end of the curve looking depressingly flat. William Rhode looks at how structured products are likely to function in such an environment - from both an issuer and…
Delta and vega hedging in the SABR and LMM-SABR models
Riccardo Rebonato, Andrey Pogudin and Richard White examine the hedging performance of the SABR and LMM-SABR models using real market data. As a by-product, they gain indirect evidence about how well specified the two models are. The results are…
Valuing Tips bond futures with the Jarrow-Yildirim model
Hongming Huang and Yildiray Yildirim apply the Jarrow-Yildirim model to derive a closed-form solution for Treasury inflation-protected securities (Tips) futures. With the issuance of inflation-protected bonds and the impact of inflation on financial…