The 1998 failure of Long-Term Capital Management (LTCM) is said to have nearly blown up the world's financial system. For such a near-catastrophic event, the finance profession has precious little information to draw from. By piecing together publicly available information, this paper draws...

This paper analyses the co-movements between the US stock market and several commodity futures between 1998 and 2011. It computes dynamic conditional correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second, and (iv) 1-second frequencies and documents a synchronized structural break,...

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index spot-futures pricing. Using intraday data for financial instruments related to the CAC 40 index, we do not find that the spot-futures price efficiency improvement observed after...

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

The financial development of agricultural markets is not recent. But, starting early 2000, a large amount of investments on commodity markets, including agriculture, have been realized using innovative instruments. And in 2007-08, the continuous increase of investment was simultaneous with...

Contracts paying a guaranteed minimum rate of return and a fraction of a positive excess rate, which is specified relative to a benchmark portfolio, are closely related to unit-linked life-insurance products and can be considered as alternatives to direct investment in the underlying benchmark....

In this paper, we use the key concept of arbitrage free valuation to close the gap between option pricing and ALM. We derive a continuous-time equivalent of the discrete ALM model and show how, e.g., equity options and swaptions ought to be valued. We demonstrate that normally distributed equity...

This paper applies contingent claim analysis to value pension contracts for real-life collective pension plans with intergenerational risk sharing and offering DB-like benefits. We rewrite the balance sheet of such a pension und as an aggregate of embedded generational options. This implies that...

This paper implements a model-free approach to measure the market price of the variance risk. In this approach, the value of the variance contract is estimated from prices of traded options. We find that the variance risk is priced, its risk premium is negative and economically very large. In...

We analyze the implications of dynamic flows on a mutual fund manager's portfolio decisions. In our model, a myopic investor is allowed to dynamically allocate capital between a riskless asset and an actively managed mutual fund who charges fraction of fund fees. The presence of dynamic flows...