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  • Marco Avellaneda, director of financial mathematics at New York University, is launching a systematic volatility arbitrage fund in Paris, which is believed to be the first fund set up purely to extract correlation through quantitative techniques.
  • The equity derivatives market was swirling with speculation last week that several sellers of call options had racked up substantial losses after the share price of OSI Pharmaceuticals more than doubled.
  • Last week bankers, lawyers and quants swarmed to the Brewery in London for Risk's annual European conference.
  • Several years after it entered its first credit derivatives Siemens Financial Services is still one of the only corporates that hedges its credit risk, but Ralf Lierow, director in Munich, thinks that is going to change.
  • Liquidity in variance swaps on blue-chip European single stocks has increased around five-fold in the last six months.
  • Options traders witnessed heavy volumes in euro puts/Swiss franc calls last week as market players looked to the options market to express views on a further drop in the euro against the Swiss franc in the spot market.
  • Swiss Re has dipped its toes into the U.S. equity derivatives market for the first time with the launch of a proprietary trading desk.
  • Société Générale has pulled out of the Australian equity derivatives market and has shifted its Sydney-based team to Hong Kong.
  • Neuberger Berman Technology Management envisages entering over-the-counter contracts to hedge exposure in its recently launched long/short technology hedge fund.
  • --Alain Dubois, chairman of the managing board of Lyxor Asset Management, a wholly owned subsidiary of Société Générale with some EUR40 billion (USD48 billion) under management, commenting on a recent European Commission recommendation clarifying the use of derivatives in certain types of funds.
  • Tricadia Capital, a collateralized debt obligation manager and proprietary credit derivatives trading operation, has hired Shaloub Razak, a credit derivatives trader at Bear Stearns in New York, in a similar role.
  • Wachovia Securities has hired Eric Glicksman, head of equity structured products at Lehman Brothers in New York, and plans to further grow its structuring team.