The recent volatility in crypto-currency prices caught many Bitcoin miners, lenders, and financial institutions off guard, highlighting their lack of risk management practices for financing Bitcoin Mining ASICs.The lack of understanding of the sensitivity of ASIC machine pricing to BTC prices,...

As the world faces the threat of climate change, investors and financial institutions are increasingly looking at investment portfolios’ carbon characteristics. We have identified three key elements that should be considered in order to avoid greenwashing in investment portfolios. First, we...

We show that for a sample of 1,882 publicly listed Indian firms and sample period from 2016 to 2021, derivative-usage significantly reduces the idiosyncratic stock return volatility. The negative effect of derivative-usage on idiosyncratic volatility is more pronounced for firms with poor...

Considering the fair strike values of variance and volatility swaps, we use a stochastic volatility model in which the log volatility is given by a fractional Ornstein-Uhlenbeck process with two versions; a stationary version and a version with a deterministic initial value. Under these...

In this article, we test performance persistence and measure the historical, the implied volatility, the credit spread volatility and the value at risk,VaR, of the credit derivatives swaptions contracts. We examine contracts of US leveraged loans, mortgage backed securities, high grade corporate...

Do financial market developments matter for rank-and-file workers? We find that equity options or credit default swaps (CDS) trading on a firm improves employee welfare ratings. The results are robust to alternative welfare outcome measures including a firm’s selection into "Best Companies to...

Derivatives pricing changed drastically in 2007-2008, following the financial crisis. The failureof the Lehman Brothers refuted the myth that ”AAA” rated financial institutions cannotdefault. Basel III was introduced and implemented to reinforce existing financial market regulationsand...

Futures market prices in different countries affect each other such is the case for US and China. China has a huge share of the global consumption of commodities and the Chinese government is concerned about the excessive influence of global speculative forces. Therefore, it is important to...

We propose novel Bitcoin-denominated derivatives contracts on carbon bonds. We consider afutures contract on carbon bonds where its price is expressed in terms of bitcoins. We putforward an option on a future contract of the former type. Governments can use them to hedgeclimate change and...

The process of fitting mathematical finance (MF) models for option pricing — known as calibration — is expensive because evaluating the pricing function usually requires Monte-Carlo sampling. Inspired by the success of deep learning for simulation, we present a hypernetwork based approach to...