Download PDF Introduction to Closed-End Funds A closed-end fund (CEF) is a vehicle that collects funds via issuance of shares once and, thereafter, keeps its number of shares fixed. Therefore, after the initial fundraising, no additional capital flows into the fund, unless the CEF’s management specifically decides to raise new Read more…
Download PDF Introduction Convertible bonds are a unique way of raising capital which allows investors to convert the security into a predefined number of shares of common stock given by the conversion ratio. Convertible bonds have a long history, dating back to the 19th century when American railway firms were Read more…
Download PDF Introduction Structured financial products are complex and customized financial instruments that combine traditional assets with derivatives. They are designed to meet the specific needs and preferences of investors who are not satisfied with the conventional financial products available in the market. Structured financial products can offer various benefits, Read more…
Download PDF Introduction The idea behind capital structure arbitrage is that the market pricing of equity and debt can diverge away from equilibrium, which might be because different types of investors are active in each market, and they possibly have different opinions about the prospects of a company. Therefore, capital Read more…
Download PDF Introduction 50 years ago, the financial industry changed forever with the introduction of the Black-Scholes model for options pricing. However, the story started much earlier with less sophisticated approaches and has evolved significantly over the last century, encompassing notable frameworks such as the binomial tree in discrete time, Read more…
Download PDF Introduction Pairs Trading is a well known and one of the earliest statistical arbitrage trading methods. This article will present two rather simple pairs trading strategies, namely the Distance and Cointegration Method and discuss their levels of profitability over time and in the present day. Intuitively, pairs trading 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 Introduction Credit Default Swaps (CDSs) have had an interesting trajectory to say the least, starting out as a niche derivative, they rose to prominence after the Russian financial crisis of 1998, ballooning into a market worth an enormous $62.2 trillion in 2007. In 2008, this market promptly collapsed, Read more…
Intro Cross-currency basis swaps, also known as basis swaps, are contracts in which two counterparties agree to exchange interest payments according to two floating rates as well as notional principals denoted in two different currencies. Theoretically, covered interest rate parity should hold in absence of arbitrage opportunities. Here S and Read more…
Introduction The purpose of this article is to analyse different futures markets on cryptocurrencies and try to find justifications for excessive premia and discrepancies in prices. Firstly, we are going to present a general overview on cryptocurrencies and futures, then a short analysis of premia and finally we’ll look at Read more…
In the second part of the article, we saw how to spot anomalous price movements and how to profit from the divergence between futures and spot prices in the crypto market. Moreover, we showed the key indicator on which we should always be focused on. In this third part, which Read more…
After the huge operating loss and the consequent job-cutting of the second quarter, Blackberry received an offer to go private by Fairfax Financial Holdings Limited for $9 per share. Fairfax holds the 9.9% of Blackberry and is doing the due diligence; on November 4th the company will give more details. Read more…