Inflation trading - e.g. Morgan Stanley's inflation-linked bond issue for Republic of Italy. You need to understand the concept of "breakeven inflation" to understand how to price these products. There was a very interesting article in Risk magazine in 2003 describing the "derivatives tail wagging the cash market dog".
Hybrids trading - derivatives formed from two or more asset classes e.g. equity and commodity, or equity and interest rate.
Climate Exchange facilitates trading in environmental financial instruments.
Tuesday, 21 July 2009
Second-guessing Trends in Volatility - What Method to Use?
If we want to second-guess trends in financial volatility, what is a better measure to use - implied volatility from the options market, or time-series of volatility based on historical daily returns. Does this differ across classes e.g. equity, forex, commodities.
In an efficient market, the option price will incorporate all available information. But are option prices really efficient?
Also, can we find mathematical models that model the impact of volatility shocks on different assets accurately?
In an efficient market, the option price will incorporate all available information. But are option prices really efficient?
Also, can we find mathematical models that model the impact of volatility shocks on different assets accurately?
Project Finance
Infrastructure spending can be seen as a form of economic stimulus, and often comes under the title of Project Finance.
Examples of infraprojects could be building toll roads in Eastern Europe, or hydroelectric plants in South America (e.g. Santo Antonio). Financial turmoil has led to deals being postponed or cancelled. Politics and economics as well as banking play a large part in the financing of these projects.
Dealogic is a company that tracks global project finance volume.
Project Finance Magazine is a magazine dedicated to infrastructure projects around the globe. It also provides coverage of infrastructure funds.
PPP - Public Private Partnership
PFI - Private Finance Initiative (started by UK and Australian governments). It is a means of obtaining private funding for public projects, in exchange for ownership. In the UK it was championed by John Major. Labour critics described it as a back-door form of privatisation. Banks are generally unwilling to lend money for public projects.
Examples of infraprojects could be building toll roads in Eastern Europe, or hydroelectric plants in South America (e.g. Santo Antonio). Financial turmoil has led to deals being postponed or cancelled. Politics and economics as well as banking play a large part in the financing of these projects.
Dealogic is a company that tracks global project finance volume.
Project Finance Magazine is a magazine dedicated to infrastructure projects around the globe. It also provides coverage of infrastructure funds.
PPP - Public Private Partnership
PFI - Private Finance Initiative (started by UK and Australian governments). It is a means of obtaining private funding for public projects, in exchange for ownership. In the UK it was championed by John Major. Labour critics described it as a back-door form of privatisation. Banks are generally unwilling to lend money for public projects.
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