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Tosi, Adriano - 2018

exposed towards domestic option products, they neglect the possibility of engaging in foreign volatility arbitrage. These …

Persistent link: https://www.econbiz.de/10012915950

No arbitrage global parametrization for the eSSVI volatility surface

Mingone, Arianna - 2022

The article describes a global and arbitrage-free parametrization of the eSSVI surfaces introduced by Hendriks and … suggested in this article is faster and always guarantees an arbitrage-free fit of market data …

Persistent link: https://www.econbiz.de/10013292792

Trading and Arbitrage in Cryptocurrency Markets

Makarov, Igor - 2019

Cryptocurrency markets exhibit periods of large, recurrent arbitrage opportunities across exchanges. These price … capital controls for the movement of arbitrage capital. Price deviations across countries co-move and open up in times of … large bitcoin appreciation. Countries with higher bitcoin premia over the US bitcoin price see widening arbitrage deviations …

Persistent link: https://www.econbiz.de/10012899430

The CDS-Bond Basis Arbitrage and the Cross Section of Corporate Bond Returns

Kim, Gi H. - 2019

We provide a comprehensive empirical analysis on the implication of CDS-Bond basis arbitrage for the pricing of …

Persistent link: https://www.econbiz.de/10012905919

Currency Carry Trades, Position-Unwinding Risk, and Sovereign Credit Premia

Huang, Huichou - 2016

In this paper we derive the measure of position-unwinding risk of currency carry trade portfolios from the currency option pricing model. The position-unwinding likelihood indicator is in nature driven by interest rate differential and currency volatility, and highly correlated with global...

Persistent link: https://www.econbiz.de/10013007414

Crypto Carry

Schmeling, Maik; Schrimpf, Andreas; Todorov, Karamfil - 2022

leveraged upside exposure to crypto assets in boom periods, and (ii) the relative scarcity of “arbitrage” capital taking the …

Persistent link: https://www.econbiz.de/10014235884

Crypto Carry

Franz, Friedrich-Carl; Schmeling, Maik - 2021

We study carry trades in the cryptocurrency market and document that the lack of sufficient arbitrage capital in …

Persistent link: https://www.econbiz.de/10013241745

The Global Determinants of International Equity Risk Premiums

Londono, Juan M.; Xu, Nancy R. - 2021

We examine the commonality in international equity risk premiums by linking empirical evidence for the international stock return predictability of US downside and upside variance risk premiums (DVP and UVP, respectively) with implications from an international asset pricing framework, which...

Persistent link: https://www.econbiz.de/10013245387

Time-Varying Inflation Risk and Stock Returns

Boons, Martijn - 2019

We show that inflation risk is priced in stock returns and that inflation risk premia in the cross-section and the aggregate market vary over time, even changing sign as in the early 2000s. This time variation is due to both price and quantities of inflation risk changing over time. Using a...

Persistent link: https://www.econbiz.de/10012905328

The Cross-Section of Currency Volatility Premia

Della Corte, Pasquale - 2019

We identify a global risk factor in the cross-section of implied volatility returns in currency markets. A zero-cost strategy that buys forward volatility agreements with downward sloping implied volatility curves and sells those with upward slopes - volatility carry strategy - generates...

Persistent link: https://www.econbiz.de/10012902489