and momentum strategies in futures markets across asset classes. We construct optimal carry and momentum portfolios from … that the predictability of expected returns in futures markets reflects the scarcity of speculative capital and is …

, and products, including variance swaps, straddles, and VIX futures. In addition, the paper derives a closed …-form relationship between the prices of variance swaps and VIX futures. While tightly linked, VIX futures exhibit deviations of varying … and their relationship to VIX futures' return predictability. …

By means of a difference-in-differences approach (sigma-DID), we investigate the effect that hedging has on corporate … risk. Examining the relation between hedging and the idiosyncratic variance of stock returns, we show that when new …

We reveal pitfalls in the hedging of insurance contracts with a minimum return guarantee on the underlying investment …, e.g.\ an external mutual fund. We analyze basis risk entailed by hedging the guarantee with a dynamic portfolio of proxy … risk. We demonstrate that both risks may be surprisingly high and show how the design of the contract and the hedging …

modelling features on the hedging effectiveness of S&P 500 options. Overall, we find that fat tails can be credited for half of …This article presents a quadratic hedging framework for a general class of discrete-time affine multi-factor models and … hedging performance. A semi-explicit hedging formula is derived for our general framework which applies to a myriad of the …

results show, however, that our results can be explained by the hedging costs of market makers who are net long in options on … some underlyings and net short in options on other underlyings. Our empirical findings are robust with respect to the …

Informed traders may prefer the options market to the stock market for reasons including the leverage effect …' behavior in the options market. In this study, we examine whether the trading volume ratios of single stock options have the … of options written on those stocks, we investigate the relation between the option ratios, which are the call option …

Informed traders often use options that are not in-the-money due to higher potential gains for a smaller upfront cost … measure, suggesting more trading activity in options with higher leverage predicts future stock returns. Our results hold …