The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning …

this method to a high-frequency data set of thirty-year U.S. Treasury futures to investigate the role of the market maker …

We study the provision of liquidity in futures markets as price volatility changes. For both active and inactive …

market liquidity. As a proxy for informed traders, we use dual traders in futures markets - i.e., floor traders who trade … mimic both the size and direction of their informed customers' orders. Using data from four selected futures contracts we …

The potential for the dynamic hedging of written options to lead to positive feedback in asset price dynamics has … received repeated attention in the literature on financial derivatives. Using data on OTC interest rate options from a recent … available hedging instruments is sufficiently large to absorb the demands resulting from the dynamic hedging of US dollar …

discount brokers and capital brokers (or, dual traders in futures markets). …