Category: Markets

The Black-Scholes Model in VBA

The aim of this article is to walk the reader through the implementation of the Black-Scholes model for option pricing in VBA. Firstly, we’ll recap the theoretical framework. Secondly, we’ll provide the code to put the theory into practice and show some basic (but hopefully relevant) applications. The Theory – Pricing The classical Black-Scholes model […]

Market Recap 07/10/2018

US On Monday 1st October, the auction of three- and six-months treasury bills took place. The former have been issued with an average yield of 2.175% against 2.18% of the previous sitting while six-months have been issued averagely at 2.335% compared to 2.32%. Wednesday the EIA published data about WTI stock, which increased by 7.975M […]

Brazil’s “Real” Struggle: what’s next?

In this article we are going to analyse Brazil’s next General elections, scheduled to be held on October 7 (i.e. today). The first section will present some basic information about Brazil and a brief background on the current political situation. The second part will present key factors on the Brazilian economy and about the functioning […]

Market Recap 30/09/2018

UK Brexit talks continued and the Prime Minister Theresa May has been under increasing pressure during the week, amid Conservatives Annual Conference where her speech will be under scrutiny. Mr Johnson, the former foreign secretary, affirmed itself against the Chequers plan for Britain’s relations with the UK after it leaves the EU in a regular […]

Level Up! Polish Example

  This article analyses the economic landscape in Poland. It presents the figures that led FTSE Russell to review the outlook on this no-longer-emerging market. When discussing The FTSE Quality of Market criteria, the author focuses on parameters improvement, which resulted in the upgraded outlook of the Polish economy. The next paragraphs focus on more […]

What is the Real Value of Greek Banks?

Greek Banking Sector The Greek banking system is built around four large systemic banks, whose summary statistics you can see in the table below. All four banks have undergone a significant restructuring process, whereby both the asset value and the market capitalization went down a lot. In addition, a number of reverse stock splits that […]

Volatility Play on the Hidden Gold-Yuan Peg

Reserve Currencies A reserve currency is defined as a currency held by government for international payment purposes. The most important usages are: Repay back international debt (generally issued in reserve currencies) Defend the domestic currency against depreciation Improve the government credit rating Reserve currencies are many. The IMF chooses the most important ones to peg […]

A Primer on FX Carry Trading

Carry Trades and the Interest Parity Condition The uncovered interest rate parity (UIP) condition states that, under risk neutrality, the gain from borrowing a low interest rate currency and investing in a higher interest rate one will, in equilibrium, be matched by an equally large expected loss by a depreciation of the high interest rate […]

Market Recap 23/09/2018

US On Friday, the biggest revision (since 1999) in Global Industry Classification Standard took place. The new communications sector now include AT&T, Verizon, Century Link, Comcast, 21st Century Fox, Netflix, Walt Disney and, recent entrants, Alphabet and Facebook. Consequently, the Telecom sector which represented 2% of the S&P 500, will now represent 10%. According to […]

Market Recap 06/05/18

US Over the course of this week several key US data were released. On Tuesday, the Institute for Supply Management’s Manufacturing PMI was released: it fell to 57.3 from the previous month’s 59.3 and missing market expectations of 58.3. On Wednesday, the Federal Open Market Committee (FOMC) left its target range for Fed Funds Rate […]

Liquidity Shocks: Fear in the Interbank Lending Market and its Effects

Introduction In this paper, we will try to explain what are the Euro Interbank Offered Rate (Euribor) and Euro OverNight Index Average (Eonia) rates, what drives the spread between them and specifically why this was the case during the 2008 financial crisis. Euro Interbank Offered Rate (Euribor) rates are the basis for the prices of […]

Increasing Correlation and Alternative Hedging

Correlation of 10y US Treasuries with Stock Market On April 25th, the yield on the 10-year US Treasury note broke above the psychologically important 3% threshold for the first time since 2014. The yield’s high for the day was 3.033%, meaning it was just short of 3.05%, which would have put it at the highest […]

Market Recap 29/04/2018

US This week, US equities have shown an increase in volatility: on Tuesday 24th, following the breakthrough of the psychological barrier of 3% in the yield of 10y US treasuries, the most important US indexes S&P 500/DOW JONES 30 and Nasdaq 100 have lost about 2% each. On the same day, the VIX, the index […]

US vs China: Who is Going to Ship more?

Introduction Trade wars and tit-for-tat tariff threats between the two largest national economies should not be expected in a world embracing trade integration and common regulation through institutions such as the World Trade Organisation (WTO). However, this is exactly what we are currently observing in a US-led, politically motivated upheaval against Chinese trade practices, that […]

Veni, Vidi, Vici: The Blackstone Way To Trade CDS

The CDS Market Until 2008, credit default swap (CDS) markets have grown exponentially since their emergence in the late 1990s but shrunk considerably to an estimated outstanding notional value of $9.6 trillion in 2017. Despite deliberate efforts by the International Swaps and Derivatives Association (ISDA) and market participants on both buy and sell sides, the […]

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