Principal Component Analysis (PCA) is a common procedure for the analysis of financial market data, such as implied volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be 'facts but artefacts'. We extend this line of research...

Principal Component Analysis (PCA) is a common and popular tool for the analysis of financial market data, such as implied volatility smiles, interest rate curves and commodity future curves. We provide a critical view on PCA analysis and the corresponding results from empirical literature. In...

We find an anomaly for traded and non-traded period returns for major non-US stock markets. Returns were significantly negative over trading periods and positive over non-traded periods, while for US stock markets, both non-traded and traded period returns were positive. This anomaly appears to...

This paper examines options based upon a foreign asset but with a payout that occurs in another currency. Different type of currency translated options are covered: Flexos, Compos or Joint Options and Quantos. A special emphasis is put on this final currency translated option, since it is the...

This paper examines whether the favorite/long-shot bias that has been found in gambling markets (particularly horse racing) applies to options markets. We investigate this for the Samp;P 500 futures, the FTSE 100 futures and the British Pound/US Dollar futures for the seventeen plus years from...

An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the...