This paper investigates informed trading on stock volatility in the option market. Using a unique data set from the Chicago Board Options Exchange, we construct non-market maker net demand for stock volatility from the trading volume of individual equity options. We find that this volatility...

In this paper, we extend the research on state price density (SPD) to a bivariate setting. This extention allows us to price derivative securities whose value depends on several state variables. As an example, we examine a bivariate SPD of stock price and discount rate. We propose a...

In this paper, we develop and experiment an intensity based multi-factor model, which incorporates the joint modelling of default, prepayment and recovery risks. In this way, the model provides a link between the credit default swap (CDS) and the loan-only credit default swap (LCDS) markets. The...

In this paper, we introduce a new robust model for modelling and pricing LCDX tranches. We extend the generic one-factor model of [1], which was developed for modelling and pricing of a synthetic CDO of CDSs, to a model for tranched portfolio of loan-only CDSs (LCDSs). The essential difference...

Using Treasury bond and note futures to hedge fixed income portfolios is complicated by the large number of bonds that are eligible to deliver against the contract. Grieves and Marcus (2005) show that in some circumstances, only two bonds - those with the highest and the lowest durations - are...

Using transaction data for call options on the DAX, this study examines the empirical performance of (i) the standard Black/Scholes model (1973), (ii) the jump-diffusion model by Merton (1976), (iii) Heston's stochastic volatility model (1993), and (iv) Bates' stochastic volatility...

We conjecture that an introduction of the Hong Kong Hang Seng Chinese Enterprise Stock Index (H-share Index) futures induces additional speculating activities in the underlying equities, leading to an increase in volatility and volume of the underlying stocks. Whereas, a subsequent introduction...

Contracts for future delivery of commodities spread from Mesopotamia to Hellenistic Egypt and the Roman world. After the collapse of the Roman Empire, contracts for future delivery continued to be used in the Byzantine Empire in the eastern Mediterranean and they survived in canon law in western...

This paper analyzes the behavior of the German DAX index intraday returns. We devote particular attention to three related empirical issues. First we provide an up-to-date characterization of the DAX intraday volatility patterns. They are mostly W-shaped with peaks at the opening, at 2.30pm and...

We study the effect of options trading volume on the value of the underlying firm after controlling for other variables that may affect firm value. The volume of options trading might have an effect on firm value because it helps to complete the market (allocational efficiency) and because the...