Learning Curve

This Learning Curve explains how the large amount of capital associated with structured products exaggerates movements in long-dated implied volatility.

Anyone with the slightest interest in Chinese financial markets could not have missed the announcement of the Provisional Rules Governing Derivatives Business of Financial Institutions on 4 February 2004.

Structured warrants issued by banks have become a world-wide success story in the last couple of years.

One of the great challenges for participants in FX has been how to more effectively manage their positions in this highly unpredictable market.

For the past year, the Energy Hedge Fund Center (www.energyhedgefunds.com) has researched energy-oriented hedge funds and, recently, we have detected the emergence of several funds of funds in the natural resources segment.

Constant proportion portfolio insurance has been around for a long time but the iTraxx index has been around for less than a year.

Over 20 years since the first official over-the-counter derivative trade went public between IBM and the World Bank, the divide between the OTC and exchange-traded derivatives industries is as wide as ever.

China's stock market has opened up to innovative investment products this year.

At first glance the delta of a liquid index tranche, whether this be the delta with respect to the underlying index or to each single name, looks like a very straightforward concept.

In this Learning Curve we value the so-called loss cap, an important structural feature that distinguishes synthetic collateralized debt obligation squareds from synthetic CDOs.

Auto-callables have been actively traded in Europe for several years and have now become an increasingly influential force in flow derivatives.

Tradeable Credit Fixings are a widely supported reference and settlement rate for the credit derivatives market, akin to the British Bankers Association LIBOR fixing in the interest rate swap market.