Equity markets

Nine billion ways to be snowed

Emanuel Derman separates real tools from passing trends in the risk management vocabulary. This article is adapted from his talk on Future Innovations in Risk Management, presented at the April Risk 2002 Conference in Paris

The benefits of Enron

Many corporations are keeping a low profile when it comes to their derivatives use. But when the Enron-related witch-hunts are over, companies may find that insurers and shareholders now view corporate hedging as a fiduciary duty

Operation information

Although the industry has undertaken work to improve the transparency of hedge porfolios, fund managers' opinions differ over just how transparent funds should be

Substitute hedging

Derivatives on assets that are difficult to trade are of growing importance. Pricing suchderivatives requires the use of utility theory and proxy assets for hedging. Here, VickyHenderson and David Hobson review the theory and discuss several topical…

Universal Barriers

As our survey in this issue shows, there is an increasing volume of barrier products traded in the forex options market. Here, Alexander Lipton and William McGhee discuss the pricing of barriers under various model frameworks, with particular focus on…

Revamping Corporate Actions

Dividend payments, stock splits, name changes, spin-offs and other corporate actions impacting securities already held in accounts were not supposed to be affected by T+1. But as the deadline for shortening the trade settlement cycle is challenging firms…

Retail product design innovations

Retail investors the world over are looking for alternatives to the faltering stock and fixed-income markets. Derivatives dealers looking to tap this demand are rolling out new products and revising old ones for the retail audience. John Ferry and Navroz…

Bucking the downturn

The Decillion Convertible Arbitrage Fund has risen 16% in the past eight months despite concerns about volatility and credit in the market