We investigate the pricing of basket credit derivatives and their hedging with single name credit default swaps (CDS … pure jump filtration, we present an extremely efficient approach to pricing and study explicit hedging strategies. …

hedge ratio. Extensive out-of-sample tests give insights in the practice of hedging various cryptos and crypto indices … dependence structures between BTC-not-involved assets and the futures. As a consequence, results of hedging other assets and …

hedging long-dated futures and options with their short-dated counterparts, we find that the long-term tracking errors are, on …Since the collapse of the Metallgesellschaft AG due to hedging losses in 1993, energy practitioners have been concerned … with the ability to hedge long-dated linear and non-linear oil liabilities with short-dated futures and options. This paper …

the spot market. In our game, suppliers first choose a portfolio of call options and then compete with supply functions …. In equilibrium firms sell forward contracts and buy call options to commit to downward sloping supply functions. Although …

This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at … microstructure model for the bid-ask spread in options markets. We first construct a static equilibrium model to illustrate the …