Options
Draft European clearing rules threaten Eurex business model
Analysts warn Council of the European Union proposals could hurt trading revenues at Eurex, as its owner, Deutsche Börse, pursues merger talks with NYSE Euronext
Henry Hub futures activity surges
Volume in Nymex’s benchmark Henry Hub natural gas contract exceeds 500,000 contracts for first time
Trade of the month: Volatility skew
Trade of the month: Volatility skew
The Universa approach to hedging tail risk
Profiting from disaster
Market snapshot
Market snapshot
First offshore renminbi swaption accomplished in Hong Kong
The first offshore renminbi OTC swap option was carried out this week between BNP Paribas and HSBC in Hong Kong, brokered by Icap.
Interest rates house
Structured Products Europe Awards 2010
Trade of the month: Digital payoffs
Digital options lead to two outcomes and are most commonly used with capital protected structured products.
Qantas’s head of risk: hedging programme is too conservative
Qantas Airways’ head of risk believes the company could take more risks within its hedging programme
Unwrapping Russian structures
Since the 1998 stock market crash, Russia’s financial sector has evolved to play host to a derivatives industry sophisticated enough to support the development of retail structured products. As well as introducing offshore products to the local market,…
Knock-on FX
Many banks are now including a credit charge in swap and forward transactions, while increased volatility has upped the cost of options. At the same time, the financial crisis has sparked a suspicion of complex products. How are corporate hedgers and…
Opportunity knocked
Tricky market conditions in inflation volatility, exacerbated by dealers’ structural hedging activity around 0% year-on-year inflation floors, have created a market rife with opportunities. But few clients are taking advantage. Mark Pengelly reports
Simulations with exact means and covariances
Attilio Meucci presents a simple method to generate scenarios from multivariate elliptical distributions with given sample means and covariances, and shows an application to the risk management of a book of options
Less than zero
A drop in inflation expectations last year sent dealers scrambling to hedge their exposures to 0% floors embedded in structured products, causing a massive dislocation in the inflation swaps market. Have dealers now covered their exposures? By Alexander…
Smile dynamics III
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied…
Fit for forex
A variety of online trading and analytics platforms are being offered by banks to their clients. Risk looks at the functionality and benefits of some of these systems. By Ryan Davidson
Smile dynamics III
In two articles published in 2004 and 2005 in Risk, Lorenzo Bergomi assessed the structural limitations of existing models for equity derivatives and introduced a new model based on the direct modelling of the joint dynamics of the spot and the implied…
Nymex considers lawsuit against Optionable
The New York Mercantile Exchange (Nymex) may take legal action against Valhalla, NY-based brokerage firm Optionable, the exchange’s chief executive officer James Newsome announced this week.