This paper examines the relative value in and opportunities of gamma trades in equity options markets. It has been well documented in the literature that shorting index options straddles, with or without delta hedging, tends to produce positive expected returns, albeit at the expense of very...

It is well known that Markowitz Portfolio Optimization often leads to unreasonable and unbalanced portfolios that are optimal in-sample but perform very poorly out-of-sample. There is a strong relationship between these poor returns and the fact that covariance matrices that are used within the...

The debenture (corporate bond) is considered a great financial instrument in terms of funding for the non-financial firms in the Brazilian market. The intermediation would be done in the capital market instead of through the commercial banks. The key issue for the development of this market is...