massive bubble in agricultural futures prices at various times in recent years. This paper analyzes the market impact of … financial index investment in agricultural futures markets using non-public data from the Large Trader Reporting System (LTRS …) maintained by the U.S. Commodity Futures Trading Commission (CFTC). The LTRS data are superior to publicly-available data because …

obtained without negative consequences in the model's fit to futures prices. …

stock options. We develop an empirical estimate of ambiguity and include it in regression models alongside the more … option exercises, with volatility causing executives to hold their options longer in order to preserve remaining option value …

Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds …-embedded-leverage securities and short high-embedded-leverage securities earns large abnormal returns, with t-statistics of 8.6 for equity options …, 6.3 for index options, and 2.5 for ETFs. We provide extensive robustness tests and discuss the broader implications of …

the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …

options and tranche spreads on the five-year CDX index. We demonstrate the importance of calibrating the model to match the …