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Energy markets around the world are rapidly being deregulated, exposing participants to potentially enormous risks. In response to this there has been an explosion in the use of derivatives for managing these risks.
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The Black-Scholes model is well known to suffer from various imperfections.
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Recently the French government issued a 30-year OATi, an inflation-linked bond (ILB), boosting this nascent French debt sector.
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European options on an underlying S were initially introduced as a mean of protection against a rise or fall of S between today and the expiry of the option.
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Choosing the tenor for a hedge can be no easy task.
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Derivative exposures currently are calculated by marking the transaction to market, applying an "add-on" to reflect the outstanding duration of the derivative and the riskiness of the underlying asset, applying the credit risk weighting of the counterparty and then reducing this total by 50%.
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The Basle Accord was promulgated in the late 1980s in the aftermath of the sovereign debt crisis.
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A number of specialist firms and major players are looking at developing a role in the fledgling market for bandwidth, which is the range of frequencies, or the volume of data, that a transmission line can carry.
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Currency overlay is becoming increasingly popular with investors who need to manage foreign exchange risk.
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Daily value at risk (DVAR) has grown in importance and has become the standard in evaluating the risk attached to a trader's position.
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How the flight to par effect can be used to create long option positions without paying premium.