Options
Managing Solvency II's equity capital charge
The volatility challenge
CPSS-Iosco lifts cloud on forex options clearing
CCPs do not have to guarantee settlement, CPSS-Iosco rules - but issue could still have some way to run
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
Corporates fear move to platform trading for forex options
Despite being exempt from clearing and exchange trading requirements in the US and Europe, some corporate treasurers fear they might have little choice but to execute forex options on electronic platforms
Asian institutional investors take aggressive stance on volatility
Taking on the tail
Political crisis in Europe brings volatility back to forex options
Volatility returned to eurodollar last week, as forex traders priced further downside risk into euro options
Filling the gaps
Filling the gaps
FX Week Asia: Options clearing on hold, prime brokers confirm
Forex clearing will be restricted to non-deliverable forwards as US authorities discuss whether settlement risk can be properly managed for cleared forex options, according to speakers at the FX Week Asia conference in Singapore
Dealers tout dividends despite slide
The recent collapse in the value of dividends is a reminder of painful 2008 losses for dealers – but the industry says long positions will make money in any scenario short of catastrophe. Mark Pengelly reports
Q&A: Myron Scholes on LTCM, crisis lessons and the value of intermediation
Quants' golden age
RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Mexico driving put skew in Brent, say brokers
The put skew in Brent crude oil is close to its yearly high. This is being driven by the hedging programme of Mexico, as well as more general risk aversion on macroeconomic worries, according to brokers
Corporate FX hedging surges in Asia
Surge in structures
Marking systemic portfolio risk with the Merton model
Marking systemic portfolio risk with the Merton model
Forex options clearing complicated by guaranteed settlement requirements
CPSS-Iosco guaranteed settlement requirements make foreign exchange options clearing more difficult, say participants
CBOE relaunches credit event binary options
CBOE relaunches credit event binary options
Nigel Khakoo to leave Citi
US bank's global head of G-10 options trading has been made redundant
Asia readies for new hedge accounting rules
Brought to account
Australian regulators suggest clearing exemption for foreign exchange
Reserve Bank of Australia discussion paper commits to harmonising rules with US and Europe
Algorithmic trading in energy
The hare and the tortoise
LCH.Clearnet confirms FX options clearing for 2011
Annual results confirm significant investment in developing clearing services for FX options
Artradis collapse a failure of judgement, not risk management, says co-founder Diggle
Artradis was one of Asia’s most successful hedge funds until it hit difficulties in 2009 and 2010 that resulted in losses of $700 million and culminated in its closure in late February. But the fund’s co-founder says error of judgement and a lack of…
Cutting edge technical: Carbon derivatives pricing
Carbon derivatives pricing: an arbitrageable market