This paper is the first to analyze and value early exercises of Individual Investors in fixed-income investment products. Assuming decision and transaction costs we consider that a continuous decision-making on holding or exercising is not optimal anymore and propose a new approach to modeling...

This study investigates the relation between decomposed trading volume (number of trades and average trade size) and realized volatility and its continuous and jump components. Considering buyer-initiated and seller-initiated trades and investigate whether buyer and seller initiated trades as...

We analyze auctions for the settlement of credit default swaps (CDS) theoretically and evaluate them empirically. The requirement to settle in cash with an option to settle physically leads to an unusual two-stage process. In the first stage, participants affect the amount of the bonds to be...

In the past decade, financial institutions have assumed an ever greater role in energy derivatives (or “paper”) markets. Numerous recent studies provide novel evidence of this “financialization” and analyze the extent to which it helps explain an important aspect of the distribution of...

In the past decade, financial institutions have assumed an ever greater role in energy derivatives (or “paper”) markets. Numerous recent studies provide novel evidence of this “financialization” and analyze the extent to which it helps explain an important aspect of the distribution of...

We propose a model of volatility tail behavior, in which the pricing measure dominates the physical measure in both tails of the volatility distribution and, hence, the derived pricing kernel exhibits an increasing and decreasing region in the volatility dimension. The model features investors...

This paper studies the predictability of S&P500 returns using short term risk premia as a conditioning variable. We construct dividend prices using futures data and identify short term risk premia by projecting excess returns of dividend claims on their lagged prices. Regression results for...

A specific day-trading policy in Taiwan futures market allows an investigation of the performance of day traders. Since October 2007, investors who characterize themselves as “day traders” by closing their day-trade positions on the same day enjoy a 50% reduction in the initial margin....

A time homogeneous, purely discontinuous, parsimonous Markov martingale model is proposed for the risk neutral dynamics of equity forward prices. Transition probabilities are in the variance gamma class with spot dependent parameters. Markov chain approximations give access to option prices. The...