This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is characterized by risk-neutral valuation under different...

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...

This paper studies the dynamic interaction between the net positions of traders and risk premiums in commodity futures markets. Short-term position changes are mainly driven by the liquidity demands of non-commercial traders, while long-term variation is primarily driven by the hedging demands...

In this paper, we empirically investigate warrant price behavior in the Chinese market – the largest warrant market in the world in terms of trading volume since 2006. By examining warrant return properties, volatility behavior, and pricing errors, we document a stylized fact that call...