is that a risk neutral informed agent's holdings of the short-lived security affect his trading behavior: Past informed …

volatility derivatives—derivatives that essentially help investors hedge the unpredictable volatility risk. This paper … volatility risk premium, nor is it predicated on the strong assumption of the existence of a continuum of options of all strikes … trading only in the underlying asset (on whose volatility the derivative exists) and a risk-free asset. This bypasses the …

certain subsets of OBS transactions (e.g., exchange traded) are related to such things as interest rate risk measures …, organizational form, and other characteristics that may discriminate between desired risk/return profiles across a cross-section of … contracts (GICs), collateralized mortgage obligations (CMOs), and other sources of financial risk. …

and that, conditional on having risk exposures large enough to warrant participation, firms with a larger appetite for … risk will be less willing than average to pay this marginal cost. …

risk can transfer it to nancial markets via weather derivatives. We develop a utility-based model for pricing baskets of … weather derivatives in over-the-counter markets under counterparty default risk. In our model, agents maximise the expected …