I present an analytical formula for the value of the jth tranche (of N tranches) that grants the holder ownership of the jth bond to default for the simplest case of a collateralized debt obligation (CDO) backed by N (typically 125 for many actual securities) zero-coupon bonds that all have the...

Motivated by the continued debate about the costs and benefits of mandatory recognition and disclosure of derivative instruments and hedging activities as required by Statement of Financial Accounting Standard No. 133 (SFAS 133), we investigate whether SFAS 133 influences firms' income smoothing...

In everyday life, people in general often carry out transactions either directly or indirectly. The following will be studied in this paper regarding derivative transactions and foreign currency, this is due to the lack of knowledge of the Indonesian people about the derivative transactions...

China commodity futures market network is constructed. Commodity is the node of the network, and the network link is defined by the price correlation matrix. We analyze the relationship between the centrality of each commodity in the commodity futures market network and the optimal weight of the...

Managing the trade-off between volume and margin is among the most fundamental challenges for dealers in a securities market. We attempt to overcome this trade-off by incorporating predictions for buyer- and seller-initiated trades when submitting limit orders. Using the Avellaneda-Stoikov model...

In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...

The BSM Formula can be derived according to various generic approaches, including a simple binary taxonomy (T) regarding use and not of the BSM Equation as a partial differential equation (PDE) as an intermediate step. Namely, (T1) using the PDE and (T2) not using the PDE. While Wurts (2020 BSM,...

We show that net demand in the S&P 500 option market is fundamental to explain empirical puzzles related to the pricing kernel. When public investors (non-market makers) are exposed to variance risk by net-selling out-of-the-money (OTM) options, the pricing kernel is U-shaped, expected option...

Perpetual futures -- swap contracts that never expire -- are by far the most popular derivative traded in cryptocurrency markets, with more than $100 billion traded daily. Perpetuals provide investors with leveraged exposure to cryptocurrencies, which does not require rollover or direct...

We observe pronounced differences between anomaly long-short returns in the group of stocks with traded options, relvative to the group of stocks without options. The average monthly anomaly return of 0.63% on non-optionable stocks is almost cut in halves (0.34%) when considering optionable...