Catastrophe bonds feature full collateralization of the underlying risk transfer, and thus abandon the insurance …, finding that fully collateralized instruments have important uses in a risk transfer market when insurers cannot contract …

limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro …

trade price-contingent securities (derivatives) to insure against the risks arising from this uncertainty. I establish four … with price insurance) in this framework. A second is that equilibria with price insurance are Pareto efficient. I give … conditions under which agents are fully insured at an equilibrium. Finally I show that agents' price expectations matter in the …

The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log … be more nearly the case in most markets, price fluctuations are in fact symmetrics table or log-symmetric stable. This … generating log-normal price uncertainty. It is then used to derive the value of a short-lived option for certain processes that …

informational efficiency of the price system. We show that, when agents have private information about monetary shocks, the cost can …

User sanctions influence the legal risk for participants in illegal drug markets. A change in user sanctions may change … retail drug prices, depending on how it changes the legal risk to users, how it changes the legal risk to dealers, and the …

risk. Current reporting standards for derivatives exposures are nevertheless inadequate for assessing these systemic risk … contributions. In this paper, I explain how a transparency standard, in contrast to the current standard, would facilitate such risk … lack of standardization, they cannot be aggregated to assess the risk to the system. I highlight the important contribution …

well calibrated. Finally we assess the role of risk, finding little evidence that risk-aversion drives a wedge between …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks … accurate and computationally more efficient alternatives when the underlying asset's price dynamics are unknown, or when the … to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods …