Stricter derivative margin requirements have increased the demand for liquid collateral but euro area investment funds which use derivatives extensively have been reducing their liquid asset holdings. Using transaction-by-transaction derivatives data, we assess whether the current levels of...

The study investigates the impact of arbitrage opportunities on feedback trading using intraday 5-minute Bitcoin futures and spot prices. The study uses quantile regressions to capture different market conditions and the conditional distribution of returns and finds episodic cases of positive...

The resale option hypothesis proposed by Scheinkman and Xiong (2003) using stocks traded on the Taiwan Stock Exchange is supported by static and dynamic relations between resale option value and differences of opinion. Higher volatility of differences of opinion also leads to higher resale...

We propose a multi-asset pricing model which allows both the calibration to single-asset vanilla options, and the specification of any joint terminal distribution at each step of a discrete time grid. We also propose a way to calibrate that joint terminal distributions via normal mean-variance...

In over 40 years teaching finance, I have put together hundreds of PowerPoint slides for MBA and Undergraduate level courses on Futures, Options, Derivatives and related topics. I provide them here for download and use without restriction, with the caveat that while I have done my best to make...

In 2013, the Shanghai Futures Exchange (SHFE) introduced a night session in Chinese metal futures markets. Using high-frequency data of gold, silver, and copper futures, we investigate the impact of night trading on intraday return predictability in Chinese metal futures markets. Firstly, we...

We utilize a novel data panel of institutional short-sell transactions (with identification flags for hedgers and non-hedgers), equity covered put warrant data, and securities lending data based on the Taiwan market to show that put warrant derivatives hedge re-balancing raises borrowing costs...

To be listed on the exchange market, derivative products are standardized, which contributes to the existence of the highest liquid derivative market. In this study, we take advantage of the Japan Exchange Group’s (JPX) reform of the standardization of JGB futures options. Under low yield and...

The global financial crisis (GFC) that the whole world was confronted with in 2007/09 proved to be an event of unprecedented severity that revealed major complications arising due to a combination of omissions, inattentiveness, a lack of understanding and even greediness on the part of market...