We introduce a novel sustainable capital instrument, with features inspired by CoCos: the skin-in-the-game bond. A skin-in-the-game bond is linked to the performance of a benchmark that relates to the broad concept of sustainability in at least one of its pillars: the environment, society or...

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...

A capped volatility swap is a forward contract on an asset’s capped, annualized, realized volatility, over a predetermined period of time. This paper presents data-driven machine learning techniques for pricing such capped volatility swaps, using unique data sets comprising both the strike...

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...

It is generally said that out-of-the-money call options are expensive and one can ask the question from which moneyness level this is the case. Expensive actually means that the price one pays for the option is more than the discounted average payoff one receives. If so, the option bears a...