1.
Printing, Spoofing, Calling, and Flying – Some of the Perils of Exchange Rate FX Option Broking
Posted: 14 Jan 2021
Last Revised: 15 Jan 2021
Working Paper Series
University of Oxford - Saint Cross College
2.
Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
Number of pages: 45
Posted: 14 Jan 2021
Working Paper Series
Fidelity Investments, Inc.
Downloads
214
3.
Once Upon a Time in AMERIBOR
Posted: 14 Jan 2021
Last Revised: 18 Jan 2021
Working Paper Series
University of Oxford - Saint Cross College
4.
Expected Median Of A Shifted Brownian Motion: Theory and Calculations
Number of pages: 56
Posted: 12 Jan 2021
Working Paper Series
NatWest Markets
Downloads
24
5.
The Effect of Market Sentiment and Information Asymmetry on Option Pricing
Zghal, I., Hamad, S.B., Eleuch, H. and Nobanee, H., 2020. The effect of market sentiment and information asymmetry on option pricing. The North American Journal of Economics and Finance, 54, November, p.101235.
Number of pages: 32
Posted: 12 Jan 2021
Working Paper Series
University of Sfax, University of Sfax, Abu Dhabi University and Abu Dhabi University
Downloads
8
6.
Persistent Crises and Levered Asset Prices
Number of pages: 59
Posted: 09 Jan 2021
Working Paper Series
Carnegie Mellon University - David A. Tepper School of Business, Arizona State University and University of Washington
Downloads
45
7.
A Replicating Portfolio Approach to Valuing American Options in Closed-Form
Number of pages: 11
Posted: 09 Jan 2021
Working Paper Series
Ahsanullah University of Science & Technology
Downloads
9
8.
A Benchmark for Collateralized Loan Obligations
Number of pages: 59
Posted: 09 Jan 2021
Working Paper Series
University of Toronto - Rotman School of Management, Hong Kong University of Science & Technology (HKUST) - HKUST Business School and Hong Kong University of Science and Technology
Downloads
31
9.
Buy Together, but Recycle Alone: Sentiment-Driven Herding Behavior in Oceanic Dry Bulk Shipping
Number of pages: 24
Posted: 08 Jan 2021
Working Paper Series
Metropolitan College, Greece - Faculty of Business and Economics and Cyprus University of Technology
Downloads
2
10.
GMM Estimation of Stochastic Volatility Models Using Transform-Based Moments of Derivatives Prices
Posted: 07 Jan 2021
Working Paper Series
Goethe University Frankfurt - Department of Finance and Goethe University Frankfurt - Finance Department
11.
Generalized Transform Analysis for Asset Pricing and Parameter Estimation
Number of pages: 78
Posted: 07 Jan 2021
Working Paper Series
Goethe University Frankfurt - Department of Finance
Downloads
48
12.
VIX Futures Term Structure and the Expectations Hypothesis
VIX futures term structure and the expectations hypothesis
Quantitative Finance, Volume 20, Issue 4 (2020): 619-638.
https://doi.org/10.1080/14697688.2019.1684549
Posted: 07 Jan 2021
Accepted Paper Series
University of San Francisco - School of Management
13.
Prices and Volatilities of Oil Markets in 2020: Back to Bachelier
Number of pages: 24
Posted: 06 Jan 2021
Working Paper Series
NYU Finance and Risk Engineering and University of Texas at Austin - Department of Finance
Downloads
23
14.
Real Option Exercise Decisions in Information Technology Investments: a Comment
SN Operations Research Forum, 1(2020), Article 27
Posted: 05 Jan 2021
Accepted Paper Series
University of Passau
15.
ESG-Screening and Factor-Risk-Adjusted Performance: The Concentration Level of Screening Does Matter
Jin, I. 2020. “ESG-screening and factor-risk-adjusted performance: the concentration level of screening does matter,” Journal of Sustainable Finance & Investment, DOI:10.1080/20430795.2020.1837501
Number of pages: 42
Posted: 05 Jan 2021
Working Paper Series
National Assembly Budget Office
Downloads
19
16.
Is ESG a Systematic Risk Factor for US Equity Mutual Funds?
Jin, I. 2018. “Is ESG a systematic risk factor for US equity mutual funds?” Journal of Sustainable Finance & Investment, 8 (1): 72-93. DOI: 10.1080/20430795.2017.1395251
Number of pages: 47
Posted: 05 Jan 2021
Accepted Paper Series
National Assembly Budget Office
Downloads
15
17.
The VIX Future in Bergomi Models: Analytic Expansions and Joint Calibration with S&P 500 Skew
Number of pages: 30
Posted: 30 Dec 2020
Working Paper Series
Bloomberg L.P.
Downloads
89
18.
A Note on the Option Price and 'Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics'
Number of pages: 6
Posted: 29 Dec 2020
Working Paper Series
Peking University - HSBC School of Business and Hong Kong University of Science & Technology - Department of Mathematics
Downloads
16
19.
The Law of One Price in Equity Volatility Markets
FRB of New York Staff Report No. 953
Number of pages: 71
Posted: 23 Dec 2020
Working Paper Series
Federal Reserve Banks - Federal Reserve Bank of New York
Downloads
269
20.
Estimating Real-world Probabilities: a Forward-looking Behavioral Framework
Number of pages: 35
Posted: 18 Dec 2020
Last Revised: 21 Dec 2020
Working Paper Series
Comisión Nacional del Mercado de Valores (CNMV)
Downloads
41
21.
Understanding the Negative Pricing of the NYMEX WTI Crude Oil May 2020 Futures Contract
Number of pages: 31
Posted: 16 Dec 2020
Working Paper Series
Auckland University of Technology, Cass Business School, City University of London and Audencia Business School
Downloads
51
22.
Market Interactions Between Agricultural Commodities and the Dry Bulk Shipping Market
Michail, N. A., & Melas, K.D. Market interactions between agricultural commodities and the dry bulkshipping market. The Asian Journal of Shipping and Logistics (2020), https://doi.org/10.1016/j.ajsl.2020.07.003
Number of pages: 9
Posted: 14 Dec 2020
Accepted Paper Series
Cyprus University of Technology and Metropolitan College, Greece - Faculty of Business and Economics
Downloads
6
23.
Evidence of Arbitrage Trading Activity: The Case of Chinese Copper Futures Contracts
Number of pages: 38
Posted: 04 Dec 2020
Working Paper Series
University of Alabama - Department of Economics, Finance and Legal Studies and China Women's University-Department of Accounting,Corporate Finance and Securities Investment
Downloads
36
24.
Convergence Analysis for Continuous-Time Markov Chain Approximation of Stochastic Local Volatility Models: Option Pricing and Greeks
Number of pages: 20
Posted: 04 Dec 2020
Working Paper Series
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads
21
25.
Sunshine vs. Predatory Trading Effects in Commodity Futures Markets: New Evidence from Index Rebalancing
Number of pages: 50
Posted: 03 Dec 2020
Working Paper Series
University of Illinois at Urbana-Champaign, University of Illinois at Urbana-Champaign and Southern Illinois University at Carbondale - Agribusiness Economics
Downloads
28
26.
Lower and Upper Pricing of Financial Assets
Number of pages: 26
Posted: 03 Dec 2020
Working Paper Series
University of Calgary - Haskayne School of Business, University of Maryland - Robert H. Smith School of Business and Macquarie University
Downloads
18
27.
The Ex Ante Physical Distributions of Individual Stock Returns
Number of pages: 55
Posted: 02 Dec 2020
Working Paper Series
Bocconi University
Downloads
84
28.
A structural model of guarantor and liquidity risk
Number of pages: 44
Posted: 02 Dec 2020
Last Revised: 08 Jan 2021
Working Paper Series
Athens University of Economics and Business - Department of Accounting and Finance and Athens University of Economics and Business - Department of Accounting and Finance
Downloads
14
29.
Cross-sectional Variation of Option Implied Volatility Skew
Number of pages: 58
Posted: 01 Dec 2020
Working Paper Series
City University of New York, CUNY Baruch College - Zicklin School of Business and City University of New York, CUNY Baruch College - Zicklin School of Business
Downloads
89
30.
A Decomposition of Conditional Risk Premia and Implications for Representative Agent Models
Number of pages: 200
Posted: 01 Dec 2020
Last Revised: 12 Jan 2021
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of Notre Dame - Mendoza College of Business
Downloads
64
31.
Did Expected Credit Loss (ECL) fair for Banks in COVID-19?
Konferensi Nasional Ekonomi, Manajemen, dan Akuntansi II
Number of pages: 8
Posted: 30 Nov 2020
Accepted Paper Series
Krida Wacana Christian University, Universitas Muhammadiyah Surakarta, University of Indonesia (UI) - Graduate Program in Accounting and University of Indonesia (UI) - Graduate Program in Accounting
Downloads
39
32.
Quantile Risk Premiums
Number of pages: 52
Posted: 30 Nov 2020
Working Paper Series
University of Goettingen (Gottingen), University of Goettingen (Gottingen) and University of Goettingen (Gottingen)
Downloads
77
33.
Option Pricing with Random Risk Aversion
Number of pages: 22
Posted: 28 Nov 2020
Working Paper Series
University of Essex - Essex Business School and Alliance Manchester Business School, University of Manchester
Downloads
14
34.
HVA: Fact and Friction
Number of pages: 14
Posted: 27 Nov 2020
Working Paper Series
Barclays Investment Bank
Downloads
34
35.
Delta Hedging and Volatility-Price Elasticity: A Two-Step Approach
Number of pages: 42
Posted: 24 Nov 2020
Working Paper Series
Nanjing University, Hong Kong University of Science & Technology (HKUST) - HKUST Business School and Nanjing University - School of Management and Engineering
Downloads
47
36.
Sell or Hold? On the Value of Non Performing Loans and Mandatory Write-Off Rules
Number of pages: 32
Posted: 23 Nov 2020
Working Paper Series
Vienna University of Economics and Business - Department of Finance, Accounting & Statistics and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads
15
37.
Nifty 50 Option Time Spreads
Indian Journal of Finance, Vol. 14, No. 8-9, August-September 2020, pp. 8-19.
Number of pages: 12
Posted: 23 Nov 2020
Working Paper Series
NYU Polytechnic School of Engineering - Department of Finance and Risk Engineering
Downloads
33
38.
The Hybrid-Exponential Scheme for Stochastic Volterra Equations
Number of pages: 35
Posted: 23 Nov 2020
Working Paper Series
University of Copenhagen, Department of Mathematical Sciences
Downloads
55
39.
Pricing VIX Options with Realized Volatility
Number of pages: 33
Posted: 23 Nov 2020
Last Revised: 30 Dec 2020
Working Paper Series
Peking University and National School of Development, Peking University
Downloads
52
40.
Risk Premium Bounds: Slackness Tests and Return Predictions
Number of pages: 84
Posted: 21 Nov 2020
Working Paper Series
Rice University - Jesse H. Jones Graduate School of Business, Rice University - Jesse H. Jones Graduate School of Business and Rice University - Jesse H. Jones Graduate School of Business
Downloads
58
41.
The Leverage Bearing Capacity: A New Tool for Intermediary Asset Pricing
Number of pages: 46
Posted: 19 Nov 2020
Working Paper Series
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster and University of Muenster - Finance Center Muenster
Downloads
54
42.
Momentum, Reversal, and Seasonality in Option Returns
Number of pages: 85
Posted: 17 Nov 2020
Last Revised: 20 Nov 2020
Working Paper Series
University of Southern California - Marshall School of Business - Finance and Business Economics Department, Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads
488
43.
Spike Modeling for Interest Rate Derivatives with an Application to SOFR Caplets
Number of pages: 59
Posted: 17 Nov 2020
Working Paper Series
Bank of America and Bank of America
Downloads
354
44.
Dynamic Term Structure Models for SOFR Futures
Number of pages: 28
Posted: 12 Nov 2020
Working Paper Series
University of Copenhagen and University of Copenhagen
Downloads
158
45.
Levered and Inverse Vix Etp Option Contract Adjustments: No Harm, No Foul?
Accounting and Finance (Forthcoming)
Number of pages: 30
Posted: 11 Nov 2020
Working Paper Series
Vanderbilt University - Finance and Vanderbilt University - Finance
Downloads
27
46.
Factor Investing, Learning from Prices, and Endogenous Uncertainty in Asset Markets
Number of pages: 59
Posted: 10 Nov 2020
Last Revised: 23 Nov 2020
Working Paper Series
Frankfurt School of Finance & Management, Frankfurt School of Finance & Management gemeinnützige GmbH and Frankfurt School of Finance & Management
Downloads
59
47.
Option Momentum
Number of pages: 39
Posted: 10 Nov 2020
Last Revised: 31 Dec 2020
Working Paper Series
University of Maryland - Department of Finance and University of Maryland, R.H Smith School of Business
Downloads
118
48.
Mutual Fund Hedging Demands and the Cross-Section of Variance Risk Premiums
Number of pages: 63
Posted: 10 Nov 2020
Last Revised: 26 Dec 2020
Working Paper Series
University of Maryland, R.H Smith School of Business
Downloads
70
49.
Short-Term Trading Strategy on G10 Currencies
Number of pages: 53
Posted: 05 Nov 2020
Working Paper Series
WorldQuant LLC - WorldQuant University
Downloads
97
50.
Offshore Currency Markets: Non-Deliverable Forwards (NDFs) in Asia
IMF Working Paper No. 20/179
Number of pages: 28
Posted: 30 Oct 2020
Working Paper Series
International Monetary Fund (IMF) and affiliation not provided to SSRN
Downloads
14
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