Exchange-traded products (ETPs) linked to futures contracts on the CBOE S&P 500 Volatility Index (VIX) have grown in volume and assets under management in recent years, in part because of their perceived potential to hedge against stock market losses. In this paper we study whether VIX-related...

In this paper, we present a framework for the development of on-chain forwards (and futures). This utilizes smart contracts to automate the custody of collateral and settlement of payouts on expiry. Importantly, our framework also enables forwards to be traded without counter party risk or...

The purpose of this study is to examine the tracking ability of physical (in-kind) and synthetic (swap-based) Exchange Traded Funds (ETFs). By using three different measures of tracking error, I examine ten pairs of ETFs, which on aggregate track different asset classes (equities, bonds,...

Currency derivatives are an important tool to manage foreign exchange risk, hedging. Organizations transacting, investing, or operating in other nations appreciate the possibility of managing currency risk. Investors, financial institutions, and businesses use currency derivatives to complement...

This study investigates the informational role of options trading in the price discovery process around the dissemination of accounting information, specifically annual and quarterly earnings announcements. Firstly, we examine the effect of options markets by analyzing stock market reaction to...

Forecasting based pricing of Weather Derivatives (WDs) is a new approach in valuation of contingent claims on nontradable underlyings. Standard techniques are based on historical weather data. Forward-looking information such as meteorological forecasts or the implied market price of risk (MPR)...

The paper analyzes the relation between growth and income inequality in the US during the post-war years (1953–2008). We show that the income of the top income groups is more sensitive to growth, defined broadly as current growth and changes in expectations of future growth, compared to the...