SABR Model for the Implied Volatility Smile

The SABR model is like the Vega/Vanna Volga Approach, in that it is a method of interpolating the implied volatility surface. Given the dynamics of the forward rate, the stochastic instantaneous volatility, and the Black model, we get an algebraic expression that the Black Implied Volatility must satisfy. Given traded and liquid options, we fit […]

Russian Bear is Back

In this article, we will suggest some reasons to consider an investment in the Russian economy, by first introducing the international economic environment, then the specific Russian economy and finally provide an investment strategy. Why to Invest in Russia? The purpose of the article is to show why an investment in Russia could be very […]

Adobe acquires Marketo for $4.75bn: a massive marketing mashup to cope with rising customers’ expectations

Adobe System [ADBE: NASDQ] – Market Cap as of 30/09/2018 $131.772bn Introduction  On September 20, 2018, the American multinational computer software company Adobe Systems, announced that it had entered into an agreement to buy the B2B marketing engagement cloud platform Marketo from Vista Equity Partners, in a transaction valued at approximately $4.75bn. About Adobe System Adobe […]

Market Recap 12-11-17

United States While markets hit record highs on Wednesday (Nov. 7), investors concerned about the prospects for tax cuts took the chance to get out of the equity market, pushing the markets down in the last 2 trading sessions of the week. This was probably the reaction to the news that indicated cuts might not […]

Airbus Joins Bombardier: the C Series Programme Takes Off

Airbus SE (EPA:AIR) – market cap as of 26/10/2017: USD 64.64bn Bombardier Inc. (TSX:BBD.B) – market cap as of 26/10/2017: CAD 6.16bn Introduction On October 16, 2017, Airbus and Bombardier signed an agreement to become partners on the C Series aircraft program. Under the agreement, Airbus will provide procurement, sales and marketing, and customer support […]

The Family Expands: LVMH Buys Christian Dior Couture for €12bn

Semyrhamis SA—private investment company LVMH Moet Hennessy Louis Vuitton SE (MC: PAR)—market cap as of 29/04/2017: €114.85bn Christian Dior SE (CDI: PAR)—market cap as of 29/04/2017: €45.48bn Introduction On April 25, 2017, it was announced that Semyrhamis SA, a company owned by the Arnault family, had made a public takeover offer to acquire the remaining […]

Trading Volatility Using Options: a French Case

Introduction Volatility is a key feature of financial markets. It is commonly used as a measure for risk and is a common an indicator of the investors’ fear and concern about the future. While higher volatility means bigger profits and losses in a directional strategy (one which bets on a future movement of the price […]

It’s All About the Beer: Heineken acquires Brasil Kirin in a Move to Challenge AB InBev in its Oldest Market

Heineken N.V. (AMS:HEIA) – market cap as of 3/3/17: €45.05bn Kirin Holdings Co. Ltd. (TYO:2504) – market cap as of 3/3/17: ‎¥‎1.82tn (€15.05bn) Introduction On February 13, 2017, Japanese brewer Kirin Holdings Company has agreed to sell its Brazilian beer business to Heineken for ¥77bn (€664m). The deal will make Heineken the second-largest beer company […]

China Talks – The Modern Silk Road

Bocconi Chinese Student Association and Bocconi Students Investment Club are happy to present you: China Talks- The Modern Silk Road: Chinese M&A in Europe Bocconi Chinese Student Association and Bocconi Students Investment Club are happy to present you: Guest Speaker Tommaso Lazzari  Seta Capital Candice Yang Gianni, Origoni, Grippo, Cappelli Partners Moderators Program March 1 […]

A Primer on Risk-Parity

The concept of risk parity is not well-known among market participants. However, its resiliency to different market environment makes it a very interesting capital allocation strategy. It was first theorized in the sixties by Ray Dalio – founder of Bridgewater Associates – when he tried to find an answer to the following question: “What kind […]

Poland: a political throwback drives the spread higher

The 24th May 2015 marks an unprecedented change in Poland’s direction under many aspects. On that day Andrzej Duda, candidate of the Law and Justice party (PiS, abbreviation of “Prawo i Sprawiedliwość”) won the presidential elections, defeating the incumbent president Bronisław Komorowski, for the Civic Platform (PO, “Platforma Obywatelska”). Probably this doesn’t say anything to […]

Free Money: it might be ahead of us

Have you ever played Monopoly and everyone was in such a terrible situation that you all decided to distribute a certain sum of money from the bank to all players? Well, you are not the first… This unorthodox monetary policy was firstly introduced by the Nobel prize Milton Friedman in “The Optimum Quantity of Money” […]

On and Off LSE – Deutsche Boerse Relationship Could Result in a “Marriage of Equals”

 London Stock Exchange Group plc.; market cap as of 04/03/2016: £9.93bn ($14.13bn) Intercontinental Exchange, Inc.; market cap as of 04/03/2016: $28.41bn Deutsche Boerse AG; market cap as of 04/03/2016: €14.31bn ($15.74bn)   Introduction Last week’s rumors about a “merger of equals” between LSE and Deutsche Boerse officially put LSE “in play”. Such an event raised […]

Oaktree’s Countryside Properties finds its home on LSE, valued at £1.01bn at IPO

Oaktree Capital; market cap as of 04/03/2016: $7.33bn (£5.15bn) Countryside Properties plc.; market cap as of 04/03/2016: £ 1.01bn Introduction On 14 January, 2016, Countryside Properties plc. (Countryside), UK-based real estate developer controlled by private equity firm Oaktree Capital Management, L.P. (Oaktree),announced its intention to proceed with an initial public offering. On 12 February, 2016 […]

Market Recap 28-02-2016

[edmc id= 3544]Download here the Weekly Market Brief[/edmc] United States S&P 500 began the week trading in the red but rose on rebounding oil prices, ending with a weekly gain of 1.6% to 1,947. Oil also ended the week up, with Brent up 6.3% at $35.10 per barrel, on the back of expected declines in shale […]

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