Economics & Strategy: Equity Derivatives – Third

Davide Silvestrini & team, J.P. Morgan Cazenove

Davide Silvestrini’s five-person J.P. Morgan Cazenove team captures third place for a second straight year. One buy-sider applauds the group for its “knowledge of both theory and practice when it comes to trading dividend swaps and options.” Silvestrini discovered derivatives when he was in college; what began as “a purely intellectual interest morphed into an interest in how investors and traders use these products.” Currently, he and the team, which operates out of London, are interested in structural shifts of such derivatives metrics as skewness. “The advice we are giving our clients is to take advantage of these dislocations where possible in hedging and ‘risk premium’ trades,” he explains. The researchers are also seeing shifts in other standard measures, like long-dated implied volatility, skew convexity and correlation — which is “near extreme and will reset to a higher ‘new normal’ but below recent levels,” he predicts.