This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in pricing options, GARCH (Generalized Autoregressive...

Virtually every longer-term tax-exempt municipal bond is callable, usually at par 10 years after issuance. Borrowers pay for the call option by an above-market coupon or at a reduced sale price. We explore how the value of the option compares to its cost.From the perspective of the municipal...

In 2017 the Alternative Reference Rate Committee (ARRC) recommended the Secured Overnight Financing Rate (SOFR) as the replacement for USD LIBOR as the reference rate for use in derivatives and financial contracts. Since then SOFR-linked derivatives started to develop and their liquidities have...

Even though carbon futures as a new asset have attracted the attention of scholars, there have been few attempts to investigate potential benefits of investing in carbon credits. In this study, we analyse the feasibility of hedging and diversifying stocks with carbon futures. We adopt the...

Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...

Merchant energy trading companies manage conversion assets to exploit price differences across time, space, and sources of energy in the face of energy futures term structure risk. Financial hedging of this risk is standard practice. Market incompleteness, such as limited futures liquidity,...

The global financial crisis of 2008 painted a grim picture for regulators concerning the use of derivative contracts. Though regulation has always existed to manage the excesses of investors in highly volatile financial environments, the need for stringent regulation became more evident...

We examine key developments in trade-related activity in derivatives markets during the COVID-19 pandemic. Using a unique database spanning 113 exchanges and 40 countries, we find significant large increases in volumes and open interest using event study methods. Further, drawing upon techniques...

Since the 1970s, the LIBOR has served as a fundamental measure for floating term rates across multiple currencies and maturities. Loans and many derivative securities, including swaps, caps and swaptions, still rely on LIBOR as the reference forward-looking term rate. However, in 2017 the...