Equity derivatives

Isda AGM: Rate of decrease in CDS notional falls

The rate of decrease in notional volumes of credit default swaps (CDSs) has slowed, according to the International Swaps and Derivatives Association’s year-end 2009 market survey, which was unveiled at its annual general meeting in San Francisco on April…

Between volatility and variance

Banks and investors were hammered on short single-stock variance positions during the financial crisis, leading many dealers to withdraw from the variance swap market. The alternative that some have reverted to is the volatility swap, although this has…

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