We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of exotic cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel pricing of long-dated foreign exchange (FX)...

We show that the slight possibility of a macroeconomic disaster of moderate magnitude can explain important features across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and volatility of credit spreads, generates a flexible credit term...

We present a Graphics Processing Unit (GPU) parallelization of the computation of the price of cross-currency interest rate derivatives via a Partial Differential Equation (PDE) approach. In particular, we focus on the GPU-based parallel computation of the price of long-dated foreign exchange...

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

We analyse cointegration in commodity markets, and propose a parametric class of pricing measures which preserves cointegration for forward prices with fixed time to maturity. We present explicit expressions for the term structure of volatility and correlation in the context of our spot price...

This paper derives the arbitrage-free pricing formulae and hedging ratios of path-dependent multicurrency interest rate derivatives in continuous time. The exchange rates and the zero-coupon bond prices are modeled by multivariate log-normal processes with an arbitrary number of random factors....

We find and describe four futures markets where the bid-ask spread is bid down to the fixed price tick size practically all the time, and which match counterparties using a pro-rata rule. These four markets' offered depths at the quotes on average exceed mean market order size by two orders of...

This paper investigates the relationship between futures prices and financial investments in derivatives of the main agricultural commodities. We first provide a broad picture of how these markets function and how they have evolved, showing that traders who deal mostly in commodity index...

In the past decade, financial institutions have assumed an ever greater role in energy derivatives (or “paper”) markets. Numerous recent studies provide novel evidence of this “financialization” and analyze the extent to which it helps explain an important aspect of the distribution of...

In the past decade, financial institutions have assumed an ever greater role in energy derivatives (or “paper”) markets. Numerous recent studies provide novel evidence of this “financialization” and analyze the extent to which it helps explain an important aspect of the distribution of...