The relationship between the level of stock market volatility and public information flow is non-linear, resembling a bell-shaped function. Medium levels of information flow generate heightened volatility, whereas weak and strong information flow do not, regardless of whether news are negative...

This paper studies quantile-based moment premiums. The quantile-based approach delivers robust and flexible alternatives to premiums for variance, skewness and kurtosis risk and enhances our understanding of the pricing of risks in derivatives markets. To quantify these premiums, the paper...

Following an approach originally suggested by Balland in the context of the SABR model, we derive an ODE that is satisfied by normalized volatility smiles for short maturities under a rough volatility extension of the SABR model that extends also the rough Bergomi model. We solve this ODE...

If a firm invoices a transaction in a foreign currency, a delay of payment between the transaction date and the settlement date exposes the firm to exchange rate risk. In their income statements, firms report such exchange rate gains and losses, signaling their exposure to currency risk. Using...

The risk that a financial institution will experience a loss because it did not accurately determine the fair value of the financial instruments on its balance sheet is known as Valuation Risk (VR). That risk is sometimes heightened because determining fair value is not always a simple or...

We investigate the relation between the motive of greed and several asset market indicators such as trading activity and bubble formation in the form of mispricing, overpricing, and price amplitude. To that end, we run experiments in which we are able to measure individuals’ greed and create...

I show that the irreversibility of dying coupled with gradual information acquisition over time on the likely arrival and eventual effectiveness of vaccines confers a real option value to lockdown strategies that delay the incidence of a pandemic.The case for lockdown strategies becomes stronger...

We provide robust empirical evidence that uncovers the reason for the observed closer relationship between the bond market versus the equity market and the macroeconomy. Our results indicate that the tight bond market-macroeconomy link is not due to differences in the investor base, but instead...

Demand from emerging countries is expected to show strong growth going forward. IT sector has made significant contributions to India's economic growth in terms of GDP increase, foreign exchange earnings as well as employment generation. Its contribution to GDP has increased almost tenfold in...

The banks have sought to counter the mounting pressure on spreads by raising their PLRs. The rise in interest rates has resulted in a slowdown in credit growth in the banking sector. This is also likely to put pressure on the banking sectors earning profile and Net Profitability Margin (NPM)....