Under the assumption of no arbitrage opportunity, the price of stock index futures should be equal to the spot price of the underlying stock index, excluding capital costs, dividends, and trading costs. However, since stock index futures have been introduced to the Chinese market in 2010, their...

In December 2017, both the CBOE and the CME introduced futures contracts on bitcoin. We investigate to what extent they provide useful information for the price discovery of bitcoin. We rely on the information share methodology of Hasbrouck (1995) and Gonzalo and Granger (1995) and find that the...

We develop an accurate valuation setup for freight options, featuring an exponential mean-reverting model for the freight rate with distinct reversion scales for its jump and diffusion components. We calibrate to Baltic option prices and analyze the freight rate dynamics. More specifically, we...

We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices causing a Bubble effect, the presence of which is...

We propose a method to extract the risk-neutral distribution of firm-specific stock returns using both options and credit default swaps (CDS). Options and CDS provide information about the central part and the left tail of the distribution, respectively. Together but not in isolation, options...

We investigate how market participants price and manage counterparty credit risk in the post-crisis period using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts, but a...

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

This book provides a systematic study on the optimal timing of trades in markets with mean-reverting price dynamics. We present a financial engineering approach that distills the core mathematical questions from different trading problems, and also incorporates the practical aspects of trading,...

This paper studies the trading behavior of different types of traders in commodity futures and their impact on liquidity consumption/provision as well as price discovery in the market. CME classifies each trade by its Customer Type Indicator (CTI) into four groups: a local trader who trades for...

We use derivatives regulatory data to quantify the OTC index dividend swap market and contrast it with the listed index dividend futures market. We find USD 2 billion in notional outstanding of market-facing OTC dividend swaps between dealers and end-users, with another USD 4.4 billion...