13 results

Facing fear with the VIX

The VIX index is a measure of implied volatility of the S&P-500 index. It was first created in 1993 and uses liquid exchange...
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Unpicking ESMA's market analysis

In April 2021 the European Securities and Markets Authority (ESMA) published its annual statistical report on the performance and...
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MPT: going non linear

The importance of diversification in portfolio construction has been well known for many decades and was first formulated in the...
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MPT: searching for the efficient frontier

Regularly monitoring how a portfolio is performing is how advisers and investors help ensure that the best long-term outcomes are...
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Dual currency deposits

The Dual Currency deposit is one of the most popular payoffs within Foreign Exchange (FX) linked structured products around the world....
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Understanding option Greeks: part 2

We conclude here our comprehensive survey on how “Greeks” affect Structured Products and Derivatives pricing and hedging. In the first...
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How dispersion products work

A recent trend across some structured products markets is the increase in number of dispersion products that have been issued. One of...
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Decrement indices and structured products

Most retail structured products link to equity underlyings and in most cases the natural vehicle is an index. A flagship index...
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Developments in US Proprietary indices

Proprietary indices in the US structured product market have had strong market share for many years. Two of the leading index sponsors...
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Use of LIBOR in structured products

The benchmark LIBOR (London Interbank Offered Rate), the official interest rate in which leading banks borrows funds from other banks...
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