Download PDF Introduction Fixed income investments allow investors to generate steady cashflows in the future, diversify equity exposure, and lower portfolio volatility. Current inflationary pressures, tighter monetary policy, and concerns about the prospect of rising interest rates are making investors question how strategic exposure to fixed income securities can help Read more…
Download PDF Introduction This article will ostensibly be a distillation and discussion of the paper ‘Ex-Dividend Arbitrage in Option Markets’ by Hao, Kalay and Mayhew. [1] They find that a significant fraction of American call option holders do not behave in line with rational exercise policy regarding dividends, leaving money Read more…
Download PDF USA U.S. equities rallied to new highs as the busiest week in earnings season came to an end, marking October as the best-performing month of 2021. The S&P 500 breached the 4,600 mark and closed 1.33% up on the week, at 4,605.38. The tech-heavy Nasdaq composite also reached Read more…
Download PDF Introduction Is the energy inflation in Europe transitory or structural? The plethora of factors that are affecting the energy market highlights the complexity of this question. The kind of inflation seen in energy is catching some Governments on their back foot, in need of rapid reactions. With many Read more…
Download PDF Introduction In the following article we will shortly analyse the implications of the current macroeconomic environment for equities, and we will propose a trade idea on a small cap stock we have identified in the Italian stock market. The Macroeconomic Background In the last week it has become Read more…
Download PDF USA The DJIA, S&P 500, and Nasdaq composite ended the week recording gains, despite weaker than expected U.S. jobs data, which brought about concerns over the recovery for the world’s largest economy. The DJIA and S&P 500 increased by 1.22% and 0.79% respectively, this week, while the Nasdaq Read more…
Download PDF Introduction An ATM equity long straddle position is delta neutral. If systematic risk is the only factor predicting expected returns, a delta neutral strategy should have an expected return equal to the risk-free rate. In this article we will review academic literature suggesting that not only is this Read more…
Download PDF Introduction Financial instruments related to carbon emissions have been described in the past two years as a “one-way” bet for hedge funds and other financial players, who think the value of these contracts will rise in the future. The rationale behind these products is that negative externalities like Read more…
Download PDF USA A rough week for the American stock market ended with solid gains Friday. After rising Treasury yields were a headwind for much of the week, Friday’s sharp drop in the 10-year yield help spurs equities. Small caps led the way, with the Russell 2000 up 1.7%. For Read more…
Download PDF Introduction In this article, we will present the pricing of Arithmetic Asian Options using Monte Carlo simulations. Additionally, we will introduce variance reduction techniques and the advantages of using Asian options in the oil market. We will show the functioning of the Monte Carlo models and analyze the Read more…
Download PDF Introduction By typing “hybrid” in the Google search bar, the first results that come out are hybrid cars and their cutting-edge technology that is revolutionizing the automotive sector. If, on the other hand, the same question is made to a bond trader, the first thought that springs to Read more…
Download PDF USA US indexes ended a busy week higher after recovering from a Monday crash caused by the contagion risks of Evergrande’s default. On Monday, the S&P 500 fell the most since May, though it pared some losses during the last hours of trading. Another important event was the Read more…
Download PDF USA The main U.S. indexes fell this week after data on consumer sentiment was below expectations, raising doubts about the pace that the economic recovery will take and the inflation outlook. The moves in stocks show investors grappling with mixed economic data in the U.S. and China, the Read more…
Download PDF Introduction In a recent article on the FT George Soros harshly criticized foreign investment into China, pointing out the many risks that such a move might involve for investors and providing and indictment of what he perceived as worsening conditions of the “rule of law” in China, due Read more…
Download PDF Introduction Structured products are complex OTC derivatives which offer a glance into some of the deeper aspects of pricing; they are hedged with vanilla products where possible, almost always leaving basis risk, the management of which is the art of making markets in SPs. These products are very Read more…