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Deutsche Bank has hired Rachel Bobillier, a credit derivatives saleswoman to alternative funds at JPMorgan, in a similar role. Wadih Canann, the only other credit derivatives salesperson to hedge funds, said the firm has hired her to meet increasing demand.

Merrill Lynch was putting the finishing touches to a JPY40 billion (USD304 million) synthetic collateralized debt obligation referenced to a pool of unrated and high-yield assets last week.

MMC Enterprise Risk, an operating entity of New York-based Marsh & McLennan Companies, has hired Ram Kelkar, a managing director in Merrill Lynch's structured finance group in New York, to head its enterprise risk management team for the Midwest region in Chicago, according to an official. Kelkar left Merrill last week.

Moody's Investors Service is beefing up its synthetic collateralized debt obligation ratings team in New York, according to Isaac Efrat, managing director. The firm plans to add two professionals to its 17 member team in the coming weeks. The new hires will report to Efrat and William May, senior v.p. in the structured finance group.

The Bank of Korea, the country's financial markets regulator, is talking with several investment banks and investors about allowing an onshore market in synthetic collateralized debt obligations. Kang Nam Yi, a manager in the foreign exchange review division at the Bank of Korea, said it could make this decision within the coming months, but declined to elaborate.

Salomon Smith Barney last week hired Bernard Wai, equity derivatives marketer at Morgan Stanley in Hong Kong, as v.p. in the institutional sales group in Hong Kong, responsible for hedge fund coverage. Mei Zhang, spokeswoman at Salomon, confirmed the hire but declined further comment. The hire is part of a build up for its newly established institutional sales group in Hong Kong (DW, 3/10).

Tatsuya Takeda, v.p. in the e-markets group at JPMorgan in Tokyo, has joined Nikko Salomon Smith Barney in a new position as a director of structured solutions in the fixed income group. He will be responsible for marketing exotic interest-rate derivative structures, according to an official at the firm. Takeda, who starts next week, reports to Ikuo Morimoto, head of fixed income in Tokyo. The official said the firm is looking to expand its presence in the structured products market because of increased demand, declining to elaborate. Morimoto declined comment.

Credit-default spreads on Finnish telecom company Sonera tightened by roughly 50 basis points last week following its announcement of plans for a EUR5.75 billion (USD5 billion) merger with Sweden's Telia, marking Europe's first cross-border merger of national telecom companies. Mid-market five-year protection on Sonera was 75bps Wednesday, down from roughly 130bps earlier in the week before news of the merger. Telia's five-year spreads were about 5bps wider at 65bps.

Rod Prat, responsible for the origination of derivative mandates from European corporates and sovereigns at Goldman Sachs, has joined Deutsche Bank in London as managing director and head of European corporate structuring in its global markets unit.

This article introduces mixing theorems, a theoretical and computational approach to certain advanced option models. To begin, the Black-Scholes-Merton family of models is a well-known and sensible starting framework for understanding option prices. The framework relies on the assumption that the underlying stock price (or security price) follows a process known as geometric Brownian motion (GBM). This model has some very strong points in its favor: (i) it's consistent with stocks as limited liability securities and so the prices never fall below zero, (ii) it has uncorrelated returns, which have strong statistical support over many time scales, and (iii) it's very tractable computationally.

Scania, a Swedish truckmaker with operations in more than 100 countries, has entered an interest-rate swap to convert the proceeds of a fixed-rate bond it sold earlier this month into a floating-rate liability. The company entered the swap for most of the EUR500 million (USD441 million) it raised through the bond offering, according to Jan Bergman, head of the treasury in Södertälje. He said the company issued a fixed-rate deal to meet investor demand but it prefers to have the liability in floating-rate for its own risk management purposes.

Cathay Life Insurance, Taiwan's largest insurer with over TWD1 trillion (USD28.5 billion) in assets, is considering investing in credit derivative products such as credit-linked notes and synthetic collateralized debt obligations for the first time. "The idea is to diversify our portfolio," said Alex Chang, division manager of the international investment department in Taipei. The company has a USD2-3 billion fixed-income portfolio.