This paper studies the imposition of position limits on commodity futures from the perspective of curbing excessive speculation and thus manipulation. We present a simple General Equilibrium model in a static Rational Expectations framework and agent heterogeneity to illustrate that excessive...

We develop a zero beta industry model of growth options to explain the conflicting empirical findings on the relation between stock returns and idiosyncratic return volatility at the firm level. By allowing for the volatility of the underlying idiosyncratic choice variables to exhibit...

The objective of this paper is to analyze the procedures used by multinational enterprises to distribute the income generated by its foreign subsidiaries, and how they allocate the taxes paid on this income through the fiscal jurisdiction in which they operate, from the institution based view....

In this paper, we describe the development and current status of anti-manipulation rules as they apply to wholesale electricity and natural gas markets in the United States and the European Union, including the institutions that are responsible for overseeing these rules. We then compare and...

The 30-year U.S. swap spreads have been negative since September 2008. We offer a novel explanation for this persistent anomaly. Through an illustrative model, we show that underfunded pension plans optimally use swaps for duration hedging. Combined with dealer banks' balance sheet constraints,...

We present an embarrassingly simple method for supervised learning of SABR model's European option price function based on lookup table or rote machine learning. Performance in time domain is comparable to generally used analytic approximations utilized in financial industry. However, unlike the...

Artificial Neural Networks (ANNs) have recently been proposed as accurate and fast approximators in various derivatives pricing applications. ANNs typically excel in fitting functions they approximate at the input parameters they are trained on, and often are quite good in interpolating between...

This article attempts to make an insight into the essence of the current processes of expansion and molding of the niche of the Professional Valuation. The first part of the article is devoted to the brief review of new notions and processes which are engendered by the requirements of the...

In this article, we discuss the standard pricing model framework for synthetic CDOs. Though the standard framework is by now well accepted, how the model is implemented precisely and, importantly, how the model is applied, vary across the marketplace. We discuss some of the outstanding...