Delta
Podcast: UBS’s Gordon Lee on conditional expectations and XVAs
Top quant explains why XVA desks need a neighbour and a reverend
Plunging Nikkei brings $40m vega losses to Japan dealers
Losses manageable now but if the Nikkei goes under 13,000, "there will be panic"
Korea ELW crackdown leaves traders unhedged
Dealers are left unable to hedge ELS positions as liquidity dries up in Korea’s warrant market
Possible Delta Air Lines refinery acquisition raises eyebrows
Analysts have been stunned by reports that Delta Air Lines is considering the purchase of an idled ConocoPhillips refinery on the US east coast. The unprecedented deal would provide Delta with an in-house source of jet fuel, but the problems inherent in…
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
No Fuhr for BAML as global delta one role axed
Bank of America Merrill Lynch has done away with the global delta one strategy role that was due to be filled by leading ETF specialist Deborah Fuhr, formerly of Blackrock
Cutting Edge introduction: requiem for a probabilist
Requiem for a probabilist
RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Commodities house of the year
Structured Products Europe Awards 2010
Morgan Stanley Jump
Morgan Stanley has issued Jump Securities, a structured products based on the performance of a basket composed of the iShares MSCI Emerging Markets Index Fund and the Dow Jones Eurostoxx 50. Principal is not protected and the upside above the target…
Brics back in fashion
The debt crisis in Greece has brought volatility to the eurozone and given global markets the jitters. For many private banking accounts the affair has further underlined the attractiveness of emerging markets, where budget deficits are often lower and…
Market snapshot
Tim Mortimer of Future Value Consultants looks at the pricing issues for structured products in different markets and provides his trade of the month
Airlines use aircraft as alternative to cash in margin calls
Airlines with fleets of unencumbered aircraft are starting to use them instead of cash as collateral required for large margin calls in derivatives trades, such as fuel hedges.