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derivatives


Options Markets: How Far Have Implied Transaction Costs Fallen?

Options trading's explicit costs have plummeted to near zero, but what about implied transaction costs?

Modern Variants of Capitalism, Part 2: Financial Capitalism

In financial capitalism, wealth is transaction-based rather than operational.

Commodities as an Asset Class: Delivering Beta and Beyond

David-Michael Lincke, CFA, said that commodities continue to offer many investors meaningful benefits through diversification, inflation protection, and absolute returns.

Sunshine Is the Best Disinfectant: Post-Trade Transparency in Credit Default Swap Markets

IOSCO study: Neither market activity nor market exposure changed substantially following post-trade transparency rules.

Nobel Laureate Myron Scholes on the Common Mistakes Research Analysts Make

In an exclusive interview, Nobel Laureate Myron Scholes discusses some of the more philosophical issues about research methods, among them the common mistakes research analysts make.

Nobel Laureate Myron Scholes on the Black–Scholes Option Pricing Model

This is the first part of a two-part interview with Nobel Laureate Myron Scholes. In this installment, Scholes shared his perspectives on the Black-Scholes option pricing model, from the motivation and intuition of the original formula to the myriad of extensions.

Record Low Rates and Volatility Muddle Financial Models

Alarm bells have been ringing over the summer about remarkably low levels of volatility — a key input in many common investment models — across global markets.

DC Policy Update: Mortgage Market Reform, OTC Derivatives, and Credit Rating Agencies (Podcast)

This podcast covers the Johnson-Crapo mortgage finance reform bill, OTC derivatives, systemic risk associated with central clearinghouses, and an overview credit rating agencies.

Should Banks Make Funding Value Adjustments? (Podcast)

Since the 2008 financial crisis, the derivatives industry has been embroiled in a controversy over whether to make funding value adjustments. John Hull and Alan White explore this controversy in their article, “Valuing Derivatives: Funding Value Adjustments and Fair Value.”

Urbanization and Securitization: Two Key Trends to Watch in China’s Economic Rebalancing

With around 10,000 projects now in progress throughout the country, “the urbanization process in China is one that is absolutely unprecedented in human history,” according to Zheng Xiaoping. And, while securitization is an important financing tool for urban development in China, it is also becoming key to China’s fixed-income market.