support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate … options and produces dynamic portfolio strategies to duplicate these contracts. …

cor-relations and volatility spillovers between crude oil and stock index returns, pricing exotic options using the Wang …: evidence from S&P100 index and equity options, the performance of commodity trading advi-sors: a mean-variance-ratio test … catastrophe options with counterparty risk, day of the week effect on the VIX - a parsimonious representation, equity and CDS …

options on S&P 500 futures expire than on other days. The effect is driven by the interplay of market makers' rebalancing of …-the-money options by individual investors. Consistent with limits to arbitrage, we find that the effect is asymmetric and stronger above … the strike price. In line with increased options activity, pinning becomes more pronounced in recent years. …

This paper uses a dynamic optimization model to quantify the potential welfare gains of hedging against commodity price … risk for commodity-exporting countries. We show that hedging enhances domestic welfare through two channels: first, by …

which the risk management and hedging needs of investors may be effectively met through the derivative instruments. However …