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. …

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 …

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 …

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 …

Implied correlation, jointly extracted from index and stock options, is a robust predictor of long-term market returns …