derivatives. It characterizes optimal hedge positions and shows that regret aversion leads to stronger incentives to hedge …

We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives … decomposition to a) the dual covariance matrix of the derivatives, and b) the dual covariance matrix of the observed curves. To …

This paper documents the use of derivatives by securitisation special purpose entities (SPEs), also known as financial … Infrastructure Regulation. We show that these entities primarily engaged in interest rate derivatives over the period of 2015 …

Using a novel regulatory dataset of fully identified derivatives transactions, this paper provides the first …

derivatives including all firms based in the European Union. On average, we find that around 75% of market gross notional relates …

account for a small share of the overall EU credit derivatives market. The CDS market is highly concentrated, with thirteen …

derivatives in a way to profit from the positive volatility effect …