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Category: Derivatives

Derivatives
Investments & markets
‘When you combine ignorance and leverage, you get some pretty interesting results.” Warren Buffett Three good notes from the derivatives research teams of Morgan Stanley, Société...
Derivatives
Investments & markets
GameStop's rally and its short squeeze are more than just market exuberance. Thanks to low-cost trading, employees working from home, and a Fed-induced market rally, retail...
Derivatives
News
Skew is well explained by the sum of TWO return expectation Gaussians. The model reviews these distributions and leads to an interesting market structure interpretation, with...
Derivatives
Investments & markets
The fight against one of the largest frauds in banking history (Eur 55 bn and counting) is progressing, with the indictment of Sanjay Shah by SKAT,...
Derivatives
News
Corruption has a new enforcement agency. The CFTC effectively delivered on its intention to enforce the FCPA. Vitol, the Swiss firm, was just fined $95m for...
Derivatives
Investments & markets
While economists and journalists pour into the 1,200+ pages of the Brexit treaty and its long-term impact, the financial services are already seen as the big...
Derivatives
News
Oh, so faking up an initial spread to start a market isn't allowed? Let me put this one out, it's not rare... CFTC fines TFS-ICAP and...
Derivatives
Investments & markets
Goodhart’s Law: When a measure becomes a target, it ceases to be a good measure. The Sharpe ratio has changed investor behavior. We chase the metric...
Derivatives
Investments & markets
Martin Hairer, an Austrian-British researcher at Imperial College London, is the winner of the 2021 Breakthrough prize for mathematics. A paper so good, it must have...
Derivatives
Investments & markets
A good piece on the history of ETNs, who are in period of lackluster growth / demotion / regulatory pressure, unlike ETFs. ETNs’ complexity makes them...