After a market downturn, especially in an uncertain economic environment such as the current state, there can be a relatively long period with a sideways market, where indexes, stocks, etc., move in channels with support and resistance levels. We discuss option pricing in such scenarios, in both...

We discuss the pros of adopting government-issued digital currencies as well as a supranational digital iCurrency. One such pro is to get rid of paper money (and coinage), a ubiquitous medium for spreading germs, as highlighted by the recent coronavirus outbreak. We set forth three policy...

Leveraged ETFs provide a convenient mechanism to dynamically change portfolio exposure and can be successfully used to construct robust portfolios that perform well during equity market drops. We start with a classical 60 percent Bonds/ 40 percent Stocks portfolio with monthly rebalancing that...

We discuss performance of some known market anomalies like equal-weighted index, low volatility stock index, factor anomalies of Andrea Frazzini, Ronen Israel and Tobias J. Moskowitz. We suggest the utilization of these anomalies through dynamic risk allocation in portfolios based on these...

We develop an equilibrium pricing model aimed at explaining observed characteristics in equity returns, VIX futures and VIX options data. To derive our model we first specify a general framework based on affine jump-diffusive state-dynamics and representative agent endowed with Duffie-Epstein...

Leveraged Employee Stock Ownership Plan (quot;ESOPquot;) transactions originated in the 1950s, yet there are still unresolved valuation issues that arise from a complex set of operating expenses, financing structures and contingent claims that are unique to leveraged ESOPs. Although complex,...

This paper examines how an option plan that rewards managers for firm performance relative to some market or industry benchmark should be structured. Relative-performance-based compensation advocates contend that conventional stock options do not adequately discriminate between strong and weak...

This paper studies the behavior of corporate bond indices. We find that a 2-factor model with unobservable factors is adequate in capturing the variation of corporate bond portfolio returns, however we cannot identify any linear regression model with observable variables that would be able to do...

We discuss rainfall insurance using financial derivatives. Usual modeling is done for temperature related products. We gathered rainfall data in Mexico City over a period of five decades. We show that the time series data is stationary and normally distributed. Thus, we apply the closed form...

Trading volume conveys critical information on future price changes, which are of interests to all market participants. This paper inspects trading volume with the intraday transaction data of the TAIEX futures trade on the Taiwan Futures Exchange. The results support the theory of Llorente et...