By examining data on the gold forward offered rate (GOFO) and lease rates over the period 1996- 2009, we conclude that the convenience yield of gold is better approximated by the lease rate than the interest-adjusted spread of Fama amp; French (1983). Using the latter quantity, we study the...

In September 2009, G20 paved the way for the mandatory central clearing of over-the-counter (OTC) derivatives, which came into effect in December 2012. This new regulation involves a central clearing counterparty (CCP): a financial institution acting as an intermediary between buyers and sellers...

In this paper, we propose a framework for credit and debit valuation adjustments (CVA and DVA, respectively) for options and option portfolios which is based on conic finance, that is, where the positions are valued at their bid or ask prices depending on whether they are assets or liabilities....

Building on previous work of Kolm and Ritter (2019) and Cao et al. (2019), this paper explores the novel application of Deep Reinforcement Learning for Delta Hedging of options in an utility based framework where an agent is faced with a trade-off between hedging error and transaction costs...