, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …

hedging errors. In the empirical application, we synthesize the prices of the variance contract on S&P 500 index over the …

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically …

. Furthermore, hedging pressure is a strong explanatory variable for the futures risk premium in various circumstances … clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is … determined by hedging pressure, stock market returns, and the commodity-equity correlation. Empirically, the effect of the stock …

This paper investigates the relationship between futures prices and financial investments in derivatives of the main … volatility of futures prices. The Granger-causality tests suggest that speculative investments usually follow – rather than … precede - variations in futures returns. Employing a GARCH model, we find that the activity of money managers tends to be …

spreads. The model matches the widespread volatility smirk in index options as well as the first two moments of government …