Turbo warrants are represented as a combination of two path-dependent exotic derivatives. In this report we studied pricing formulas for a typical turbo call under Black-Scholes, stochastic volatility, and jump-diffusion market models. While majority of the pricing formulas thus surveyed have...

This paper investigates the potentially time-varying importance of spot and futures markets in the price discovery process of financial assets. For this purpose, we generalize the concept of component shares and information shares to allow for state-dependent relevance of different markets over...

In the paper, I propose a new effective approach to the probability distribution loading for derivative pricing. The Quantum Binomial Tree Model is the quantum implementation of the classical Binomial Tree, and through the use of quantum computing properties, we have a large improvement in...

Bitcoin (BTC) has attracted a plethora of investors and professional traders and becomes an almost inevitable asset class in today's financial markets. Deribit, the largest exchange for crypto options, offers European-typed inverse options, which target to BTC in USD but have payoff denominated...

Systematic stress tests with an entropic plausibility constraint is a method to search for the worst-case distribution. An analytic solution of this type of stress tests is known just in special cases.We introduce a simple, but general numeric approximation for systematic stress tests with an...

Hedging is a common trading activity to manage the risk of engaging in transactions that involve derivatives such as options. Perfect and timely hedging, however, is an impossible task in the real market that characterizes discrete-time transactions with costs. Recent years have witnessed...

The network structure of non-centrally cleared derivative markets, uncovered via the European Market Infrastructure Regulation (EMIR), is investigated with a focus on the Covid-19 market turmoil period. Initial and variation margin networks are reconstructed to analyze channels of potential...

J.I. Case Company v. Borak is perhaps unique in contemporary Supreme Court jurisprudence. Although the Court has “abandoned” the 1964 precedent, Borak has never been formally reversed, and it continues to generate Circuit splits, most recently concerning the enforceability of a forum...

Minority shareholders are put in a precarious position in Pakistan's predominantly family-owned/private sector companies. Controlling shareholders abuse their power and make self-serving decisions that harm the rights of both the company and minority shareholders. To that end, it is suggested...