This paper examines the recent innovation of “prediction markets,” a new genre of financial markets, and how such markets can be utilized to assess, manage, and plan for risks of all types, including economic and financial risks. A comprehensive study of these markets concluded that...

The introduction of mandatory margining for non-cleared portfolios has major implications for the pricing and risk measurement of OTC derivatives. In particular, it requires a model for estimating future initial margin to determine pricing adjustments and counterparty credit exposures. Recent...

This paper documents law of one price violations in equity volatility markets. While tightly linked by no-arbitrage restrictions, the prices of VIX futures exhibit significant deviations relative to their option-implied upper bounds. Static arbitrage opportunities occur when the prices of VIX...