To cope with the negative oil futures price caused by the COVID-19 recession, global commodity futures exchanges switched the option model from Black-Scholes to Bachelier in April 2020. This study reviews the literature on Bachelier's pioneering option pricing model and summarizes the practical...

Ethereum is an important blockchain, being the first and most popular public platform for the smart contracts underpinning financial transactions, time-stamping of supply chains, decentralized applications and initial coin offerings. Ethereum's cryptocurrency, ether, is actively traded on...

In this article, we consider replication pricing of derivatives that are partially collateralized by cash. We let the issuer replicate the derivatives payout using shares and cash, and let the buyer replicate the the loss given the counterparty default using credit default swaps. The costs of...

In this paper, we define the "inflation forward rates" based on arbitrage arguments and develop a dynamic model for the term structure of forward inflation rates. This new model can serve as a framework for specific no-arbitrage models, including the popular practitioners' market model and all...

In this paper, we establish a market model for the term structure of forward inflation rates based on the risk-neutral dynamics of nominal and real zero-coupon bonds. Under the market model, we can price inflation caplets as well as inflation swaptions with a formula similar to the Black's...