A Comparison of Pricing and Hedging Performances of Equity Derivatives Models

2017 ◽  
Author(s):  
Nathan Lassance ◽  
Frrddric D. Vrins
Keyword(s):  
Equity Derivatives

Taxation of Equity Derivatives and Structured Products

2003 ◽  
Author(s):  
Tony Rumble ◽  
Mohammed Amin ◽  
Edward D Kleinbard
Keyword(s):  
Structured Products ◽  
Equity Derivatives

New 871(m) Regulations Finalize Dividend Equivalent Payment Withholding Rules for Equity Derivatives

2015 ◽  
Author(s):  
David S. Miller ◽  
Jason Schwartz
Keyword(s):  
Equity Derivatives

The Policy Risk Premium in Equity Derivatives

2019 ◽  
Author(s):  
Giovanni Gabriele Vecchio
Keyword(s):  
Risk Premium ◽  
Equity Derivatives ◽  
Policy Risk

Equity Derivatives and Hybrids

2016 ◽  
Author(s):  
Oliver Brockhaus
Keyword(s):  
Equity Derivatives

Extracting Convenience Yield Free Short-Term Interest Rates from Equity Derivatives

2021 ◽  
Author(s):  
Uwe Geck ◽  
Christoph Kaserer
Keyword(s):  
Interest Rates ◽  
Convenience Yield ◽  
Short Term ◽  
Equity Derivatives

Pricing Equity Derivatives under Stochastic Rates

2001 ◽  
pp. 453-465 ◽  
Author(s):  
Damiano Brigo ◽  
Fabio Mercurio
Keyword(s):  
Equity Derivatives

Part III Investment Banking, 14 Trading Book—Models

2018 ◽  
Author(s):  
Gleeson Simon
Keyword(s):  
Interest Rate ◽  
Foreign Exchange ◽  
Foreign Currency ◽  
Credit Derivatives ◽  
Investment Banking ◽  
Market Risk ◽  
Equity Derivatives ◽  
Regulated Firms ◽  
Before And After ◽  
Basel 3

The key to market risk is the calculation of position risk requirement (PRR). Basel 3 has radically changed the approach to the calculation of position risk for regulated firms, and this chapter deals with the ‘before and after’ element to it. A firm must calculate a PRR in respect of all its trading book positions, all foreign exchange positions, and all positions in commodities (including physical commodities) whether or not in the trading book. A firm must also be able to monitor its total PRR on an intra-day basis. The remainder of the chapter covers trading book eligibility under Basel 2.5, trading and market exposures, equity PRR and basic interest rate PRR for equity derivatives, commodity PRR, foreign currency PRR, option PRR, credit derivatives, and underwriting positions.

scholarly journals Consistent pricing of VIX and equity derivatives with the 4/2 stochastic volatility plus jumps model

2017 ◽  
Vol 447 (2) ◽  
pp. 778-797 ◽  
Author(s):  
Wei Lin ◽  
Shenghong Li ◽  
Xingguo Luo ◽  
Shane Chern
Keyword(s):  
Stochastic Volatility ◽  
Equity Derivatives
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