The paper reviews origins of the approach to pricing derivatives post-crisis by following three papers that have received wide acceptance from practitioners as the theoretical foundations for it - [Piterbarg 2010], [Burgard and Kjaer 2010] and [Burgard and Kjaer 2013]. The review reveals several...

Structured financial products and derivatives were one of the major financial innovations since 18th century, which improve market completeness by transforming risk-sharing mechanisms. Since then, thousands of derivative types were created, and its market has grown to over six-times greater than...

Previous research has struggled to explain the valuation of A-shares in the Shanghai stock market using traditional financial indicators. We offer a different perspective by analysing the influence of key macroeconomic variables. The novelty of our econometric study is the implementation of a...

The classical Friday the 13th Effect refers to a calendar anomaly of financial markets which is generated by the fear of bad luck shared by the superstitious investors. As a result of their behavior, the returns from the supposed unlucky day of Friday the 13th are significant lower than those...

Some calendar anomalies that were detected in the stock markets could be also found in the foreign exchange markets. This paper approaches the presence of Turn-of-the-Year Effect in the logarithmic returns of Romanian leu – US dollar exchange rate daily values for a period that starts in July...

In this paper we try to build a statistical ensemble to describe a cryptocurrency-based system, emphasizing an "affinity" between the system of agents trading in these currencies and statistical mechanics. We focus our study on the concept of entropy in the sense of Boltzmann and we try to...

Using a sample of OECD countries, we explore the relationships between stock market bubbles and income inequality. Specifically, we test whether explosive growth in stock prices leads to increased concentration of income at the top of the distribution. Moreover, we investigate the possibility...

Tokenization refers to the process of creating a virtual representation of a real asset by creating fungible tokens which enables fractional ownership. If such tokens are created on a public and permissionless blockchain such as the Ethereum blockchain, they are immediately tradeable worldwide...

We consider the problem of consistently pricing new options given the prices of related options on the same stock. The Black-Scholes formula and standard binomial trees can only accommodate one related European option which then effectively specifies the volatility parameter. Implied binomial...

The Global Fear Index (GFI) is a measure of fear/panic based on the number of people infected and deaths due to COVID-19. This paper aims to examine the interconnection or interdependencies between the GFI and a set of global indexes related to the financial and economic activities associated...