This paper investigates the relationship between futures prices and financial investments in derivatives of the main … volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow � rather than … precede - variations in futures returns. Employing a GARCH model, we find that the activity of money managers tends to be …

The jump-diffusion model introduced by Merton is used to price a cross- section of options at different dates. At any …-the-money options. While in normal conditions the parameters of Merton's model do not seem to provide any additional information, in …

We study the problem of extracting the state price densities from the market prices of listed options. Adapting a model … to the application of this model to real data and show results on listed options on the Italian MIB30 equity index. …

nature. Applications are carried out with regard to the futures written on the Italian 10-year bond. …

This paper documents the existence of a significant forecast error on crude oil futures, particularly evident since the … forecast error on oil futures could have been explained in part by means of real-time US business cycle indicators, such as the … degree of utilized capacity in manufacturing. An out-of-the-sample prediction exercise reveals that futures which are …

This paper evaluates the use of risk-neutral probability density functions implied in 3-month interest-rate futures … options to assess market perceptions regarding future monetary policy moves options allow the information content implied in …