Delta hedging
Podcast: Olivier Daviaud on P&L attribution for options
JP Morgan quant discusses his alternative to Greeks decomposition
Hedge funds’ use of barrier options comes under spotlight
Former traders say Glen Point CEO’s arrest highlights compliance gulf between funds and dealers
Options liquidation can be costly. How costly?
New model uses open interest and volume data to calculate the expense of selling an options portfolio during times of stress
Cantor to offer equity swap hedges to prime brokers
Provider to enter race with Capitolis and Nearwater as it preps early 2023 launch for ABCP service
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
An end to replication
Convexity adjustments can be valued with an analytical formula, avoiding replication arguments
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
Nasdaq held Aas portfolio for nine months after blow-up
Swedish regulator reveals CCP’s decision to keep defaulted power portfolio – and claims it was not fully hedged
Machine learning hedge strategy with deep Gaussian process regression
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
Bachelier – a strange new world for oil options
Model tuned to negative prices has implications for pricing, margining and delta hedging
HKEX outage zapped key hedge; now banks push for rule change
Dealers seek shutdown of CBBC market if futures go dark
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Autocall dealers wary of Nikkei volatility surge
Dealers caught in danger zone as losses lurk on upside and downside spikes
Dynamic delta option strategies in Nordic electricity markets
This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts.
BNPP targets US equities in new tie-up with GTS
French bank says derivatives business will benefit from better prices and liquidity in underlying stocks
Hong Kong stock slump hits CBBC desks
Surging volume and rising leverage expose issuers to gap risk on hedges