Equity Derivatives
79 white papers and resources
Below you will find equity derivative white papers, opinions and analysis reports which consider current issues, thinking and market conditions. If a derivative is an instrument or security whose worth depends on the value of other underlying variables or financial instruments. Then an equity derivatives value is derived from the values of stocks or equity securities.
Can index choice lead to new opportunities in Europe?
This white paper discusses the current state of European small-cap, mid-cap and SMID-cap indexing. It looks at how tracking errors can be reduced and correlations increased using a different choice of index.
Rethinking Capital Structure Arbitrage
It is well known that the capital structure arbitrage strategy generated negative Sharpe ratios between 2005-2009. This white paper introduces four new alternative strategies that exploit the information provided by the time-varying price discovery of the equity and credit default swap markets.
EDHEC-Risk North American Index Survey 2011
The EDHEC-Risk North American Index Survey 2011 analyses the current uses of and opinions on stock, bond and equity volatility indices. The survey elicited responses from 139 North American investment professionals.
The Benefits of Volatility Derivatives in Equity Portfolio Management
This research was produced as part of "The Benefits of Volatility Derivatives in Equity Portfolio Management" strategic research project at EDHEC-Risk Institute, in partnership with Eurex.
EDHEC-Risk Asian Index Survey 2011
This research was produced as part of the "Core-Satellite and ETF Investment" research chair at EDHEC-Risk Institute, in partnership with Amundi ETF.
Which model for equity derivatives?
Local volatility was, for a long time, seen as being a universal panacea. However, cracks appeared and we have been forced to look elsewhere for a new framework. Philippe Henrotte, co-founder, partner and head of financial theory and research at Ito33, explores the alternatives.
Introducing the EDHEC-Risk Solvency Benchmarks – Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints
This research was produced as part of the "Solvency II Benchmarks" research chair at EDHEC-Risk Institute, in partnership with Russell Investments.
Credit products – alternatives for the private investor
After the cut in the prime lending rate to 1.25% by the European Central Bank, and with the inflation rate in Germany at 2.4% in November 2011, real returns are clearly negative. Consequently, investors are searching for products that are less affected by capital market fluctuations, but still…
Hybrids: Diversifying by unifying
Volatility is emerging as the norm for markets as analysts debate the interdependence of emerging markets and developed economies. Investors and risk managers who can gauge correlation between multiple asset classes correctly and unify them through hybrid products will find they are best prepared…
Potential impact of Solvency II on equity derivatives markets
Solvency II is a major regulatory theme for financial markets through 2011 and beyond. It will not only have an impact on insurance companies, but may also have wider repercussions across financial markets. This article provides a summary of the Royal Bank of Scotland’s latest report focusing on…