In this study, we propose a method for modeling the central counterparty’s optimization problem describing the actual behavior of its margin requirement. Thus far, the central counterparty’s problems as a profit-making company and social planner have been addressed. We construct both...

This paper derives accurate inferences about the contribution of a high-dimensional set of option and stock characteristics to the cross-sectional variation in delta-hedged option returns. Unlike the extant literature that is largely focused on the construction of predictive models, we apply...

We recall representations of European vanilla option prices and the constraints on the implied volatility when defined piecewise. In the case of linear interpolation of the implied variance, we explicit these constraints

The Korean government decided, in 2016, to introduce a capital gains tax (CGT) on Kospi derivatives, both to secure tax revenue and to restrict speculative trading. We take advantage of a delay between the taxation of Kospi and Mini-Kospi derivatives to apply Difference-in-Differences to assess...

The growing demand for secondary transactions and secondary purchases in the private equity market has emerged as a prominent trend, driven by investors seeking liquidity and access to mature investments with shorter holding periods. Despite the promising nature of secondary transactions, they...

This whitepaper is written with an objective to diagonally review regulations from Banking industry regulators such as CFTC, Fed Reserve and OCC. The subject matter of this review is the designation of Commercial End User exception which Banks are required to flag on their derivative portfolio....