Equity markets
Engineering forex
Mathematical Methods for Foreign Exchange – A Financial Engineer’s Approach, by Alexander Lipton World Scientific 700 pages, $75 (hardback), $48 (paperback) ISBN 981-02-4615-3 (hardback) ISBN 981-02-4283-7 (paperback)
Exotic spectra
Eigenfunction expansions can also be applied to finance. The method is particularly suited to barrier and Asian options, with convergence properties that compare favourably with Monte Carlo.
Fiat: ‘unroadworthy’
Credit of the month
Choosing a different path
Warrants
A capital future
Capital guaranteed funds
Beyond Hong Kong
Profile
A rollercoaster ride
Comment
Job moves
QUOTE OF THE MONTH: - “I have come to you with a problem – we need to outsource our balance-sheet funding” From an e-mail sent last year by John Rusnak to an unnamed counterparty, referring to his deep-in-the-money options trades, or ‘synthetic loans'.
Cap guarantee funds still booming in Hong Kong
Several capital guaranteed funds have been issued in Hong Kong over the last few weeks, with more expected before the end of the month, despite a consensus that a rise in interest rates may reduce the attractiveness of such structures.
Goldman signs up Imagine for prime brokerage
Goldman Sachs is to offer Imagine Software's ASP risk management and trading services to clients of its prime brokerage unit, GSI Prime Brokerage, formalising a partnership begun last year in which GSI clients started using the Imagine product.
Spike Trading signs with patsystems
Spike Trading, a Chicago-based supplier of clearing and support services to floor-based traders, has contracted independent software vendor patsystems, to provide it with J-Trader, the company’s online derivatives trading platform.
Macquarie issues dividend warrants in Hong Kong
Macquarie Equities Asia, a division of Australia’s Macquarie Bank, has launched a new warrant product into the Hong Kong market. Called the dividend accumulator warrant, it pays investors dividends equal to the underlying share over the life of the…
Globalisation and equity index exposure
Equity diversification
Changes afoot at rating agencies
Basel II
New products, new risks
Structured equity products marketed in Europe present considerable risk management challenges. The author shows the danger of using naive model-based approaches to price and hedge them.
Himalaya options
Nothing epitomises the challenges of complex equity derivatives better than the so-called ‘mountain range’ products. In the second article looking at the challenges of this market, Marcus Overhaus analyses a particular product, the Himalayan option,…
Changes afoot at rating agencies
Rating agencies are under fire once again, this time for failing to anticipate Enron’s bankruptcy. But they are looking to improve their methodology. What do the changes mean for banks that will have to rely on their ratings under Basel II?
Predictive Merton
Technical
Pushing the equities button
The increase in size, diversity and sophistication of the equity derivatives markets has spurred demand for more efficient technology. How are firms responding?
Books | The equities architect
Structured Equity Derivatives, the Definitive Guide to Exotic Options and Structured Notes by Harry Kat, John Wiley & Sons. 392 pages, $89.95. ISBN 0–461–48652–3
Solving the pensions puzzle
A host of market and structural problems are plaguing US corporate pension plans. Derivatives dealers are pitching a number of potential solutions.