In this paper, we document vanilla interest-rate options (caps, floors and swaptions) newly introduced in China. The underlying rates are the RMB loan prime rates (LPRs), the foremost interest rates that matter to almost all businesses and households in China. They are digital with a tick size...

Extensive research literature has shown that equity factor premia is not constant over time. With the broad adoption of factor investing among active managers, to generate differentiated market views and returns, factor or style timing remains as one attractive means. We present an adaptive...