Options
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Three firms plan to start issuing Hong Kong warrants
Morgan Stanley, Citi and Guotai aim to grab a share of fast-growing market
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Regulatory compliance – The new business enabler
Leila Szwarc, global head of compliance and strategic regulatory services at TMF Group, explains how Asia-Pacific organisations can cultivate a more robust approach to compliance amid data privacy concerns and the changing local and international…
Capital requirements for options are ‘crazy’ – DRW
Wilson says current rules penalise options, but SA-CCR does not go far enough to fix the problem
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
Portfolio optimization for American options
In this paper, the authors construct strategies for an American option portfolio by exercising options at optimal timings with optimal weights determined concurrently.
Brexit drama muddies water for FX options market
Traders focusing on new dates – and scenarios – after domestic UK criticism of proposed deal
How to stress-test portfolios for Brexit and trade wars
Options markets point to likely market moves in different scenarios, write StatPro risk specialists