A new methodology to construct synthetic volatility derivatives is presented. The underlying asset price process is very general, since equity, commodities and interest rates are included. The focus is on volatility swaps and volatility swap options, but much more derivatives may be considered....

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and other examples are given. Actuarial...

We present a new model for pricing electricity swaps. Two general factors affect all contracts but unique risk factors affect each contract. General factors are average swap prices and deterministic trend-seasonal components, and unique factors are forward premiums. Innovations follow MNIG...

Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent...

Different momentum investors use different time horizons, or formation periods, to evaluate prior stock performance. We show that this heterogeneity has important consequences on asset returns. We provide evidence that heightened trading pressure due to the concurrence of the heterogeneous...

We analyze how the materialization of climate risk in the institutional investors' portfolios spurs a propagation effect on the information content of stock prices. Institutional investors with a relatively high portfolio exposure to disasters divest from disaster-hit stocks, decrease the...