In this paper, we identify and document the empirical characteristics of the key drivers of convertible arbitrage as a strategy and how they impact the performance of convertible arbitrage hedge funds. We show that the returns of a buy-and-hedge strategy involving taking a long position in...

We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of sufficient inventories for oil futures pricing and for the explanation of...

Vaccination has been perceived as a key to reaching "herd immunity" in the current COVID-19 pandemic. This paper examines effectiveness of different vaccination strategies. We investigate the effects of two key elements in mass vaccination, which are allocations and timing of first and second...