Search Results - subject_exact:"Derivative"

How do two-way contracts-for-difference affect futures markets? : A novel modelling approach of futures market liquidity

Wagner, Fabian; Jansen, Malte; Kitzing, Lena - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617521

Determinants of financial hedging strategies among commodity producer firms in Latin America

Giraldo, Carlos; Giraldo, Iader; Huertas, Cristian; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618440

Transformed intermediation : credit risk to NBFIs, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

We argue that the rapid asset growth of nonbank financial intermediaries (NBFIs) relative to banks is the outcome of transformations of risks between banks and NBFIs that increase the interconnectedness of the two sectors. These transformations are consistent with avoiding tighter, post-GFC bank...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015564039

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Transformed intermediation : credit risk to nbfis, liquidity risk to banks

Acharya, Viral V.; Cetorelli, Nicola; Tuckman, Bruce - 2026

Book / Working Paper

Epistemic capital and two-trap growth in the AI era

Nguyen, Manh-Hung - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614463

The impact of financial derivatives on European Bank value and performance

Al-Own, Bassam; Al Shbail, Mohannad Obeid; Jaradat, Zaid; … - 2026

Using a panel dataset of 385 European bank-year observations covering the 2012 to 2022 period, this study aimed to investigate the impact of derivatives on bank value and performance. We used bank-level panel data and conducted several multivariate statistical analyses, i.e., ordinary least...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615248

The CDS basis in the European market

Heidorn, Thomas; Klaus, Juergen; Mazzalupi, Riccardo - 2026

The relationship between Credit Default Swaps (CDS) and cash bonds plays a pivotal role in providing market participants with important information which directly affects investment and risk management strategies. Particularly relevant is the CDS-Bond basis, defined as the difference in basis...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015595089

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591116

Margins as canaries in the coal mine

Kubitza, Christian; Oehmke, Martin - 2026

Central clearing counterparties (CCPs) manage counterparty risk by requiring clearing members to post margins. This paper explores the role of margins as "canaries in the coal mine:" By inducing defaults of fragile counterparties before contract maturity, margin calls enable CCPs to transfer...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015605599

Designing hedging instruments for locational price risks : lessons from North American Financial Transmission Rights

Stolle, Leon; Boeschemeier, Jonas; Hobbs, Benjamin Field; … - 2026

Locational marginal pricing (LMP) provides efficient locational dispatch and investment signals but requires a complementary congestion hedging instrument to function effectively. This paper investigates how exposure to locational price differences is managed in North American nodal electricity...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015607680

Central clearing and the pricing of specialness in repo markets

Danisewicz, Piotr; Dieler, Tobias; Mancini, Loriano; … - 2026

Repo markets clear either bilaterally over the counter (OTC) or through central counter-parties (CCPs), which differ in how counterparty risk is priced. In bilateral markets, repo rates reflect borrower-specific risk, while CCP clearing pools counterparties and applies a common pricing rule. We...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626941

Study on the validity of volatility trading

Castillo, Alberto; Mcwilliams, Jose Manuel Mira - 2026

This study examines the role of volatility mean reversion in option pricing and evaluates the performance of commonly used volatility estimators within a broad market context. Using a comprehensive dataset of end-of-day option chains for the 100 most actively traded U.S. equities from 2018 to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015628389

Contagion and default risks in derivative pricing : a Hawkes-based model

Agana, Francis; Maré, Eben - 2026

Modern financial systems do not exist in isolation but form part of a complex global network of interconnected financial systems. This globalization of financial systems significantly increases the risk of contagion in financial markets, impacting asset prices and other important economic...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638968

A novel AI-based trading framework for futures markets : evidence from the MTX case study

Hsieh, Yu-Heng; Lai, Chiung-Han; Yuan, Shyan-Ming - 2026

This study develops a novel AI-based trading framework designed to consistently generate profits across cyclical bullish and bearish futures markets. Unlike conventional strategies that rely on static rules or a single predictive model, the proposed framework introduces a dual-agent deep...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644217

A novel framework for probabilistic forecasting of electricity forward curves

Dietze, Marina; Valladão, Davi; Street, Alexandre; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644731

Temporal dynamics of market microstructure in cryptocurrency perpetual futures : econometric evidence from centralized and decentralized exchanges

Zhivkov, Petar; Todorov, Venelin; Georgiev, Slavi - 2026

We apply rolling-window econometric methods, including GARCH(1,1) estimation, Bai-Perron structural break detection, CUSUM stability testing, and Granger causality analysis in bivariate VAR frameworks, to analyze the temporal dynamics of market integration in cryptocurrency perpetual futures,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015652336

A blockchain architecture for hourly electricity rights and yield derivatives

Evdokimov, Volodymyr; Kudin, Anton; Chikhladze, Vakhtanh; … - 2026

The article presents a blockchain-based architecture for decentralized electricity trading that tokenizes energy delivery rights and cash-flows. Energy Attribute Certificates (EACs) are implemented as NFTs, while buy/sell orders are encoded as ERC-1155 tokens whose tokenId packs a time slot and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015633511

Unbiased expectations in the MISO energy market

Jones, Kevin - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665419

Financial security in the electricity market : an approach to minimize commercial counterparties' risks

Torres Filho, Ernani Teixeira; Machayba, Luiz; Balan, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015665435

On the determinants of derivatives disclosure : an emerging markets perspective

Toerien, Franz Eduard; Hall, John; Brümmer, L. M. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015546847

Credit risk transfer and systemic risk

Moliterni, Francesco - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015101833

Is liquidity provision informative? : evidence from agricultural futures markets

Ma, Richie R.; Serra, Teresa - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015166730

Unraveling COVID-19-induced volatility spillover : a study of the dynamic interplay between NIFTY 50 spot and options markets

Tokas, Nisha; Gahlot, Ruchika; Puri, Neha; Gupta, Himani; … - 2025

This study unravels the transmission of volatility spillovers between NIFTY 50 spot prices and the options market, addressing a significant gap in existing studies. It captures how market connectedness evolved during the pre-COVID, COVID and post-COVID periods, offering fresh insights into price...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015549125

Safety Aspects of Hydrogen and its main Derivatives

Conde Pardavila, Carmen - 2025

This Live Wire focuses on safety concerns associated with hydrogen and its main derivatives: ammonia and methanol. After an exhaustive review of the literature and measures on hydrogen safety, the study summarized here found robust, well-established standards developed by reputable institutions....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372473

The economics of liquid staking derivatives : basis determinants and price discovery

Scharnowski, Stefan; Jahanshahloo, Hossein - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015376393

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015272995

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The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koenigera, Winfried; Minger, Stephan - 2025

Book / Working Paper

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The transmission of monetary policy to the cost of hedging

Fengler, Matthias; Koeniger, Winfried; Minger, Stephan - 2024

Book / Working Paper

The implications of CIP deviations for international capital flows

Kubitza, Christian; Sigaux, Jean-David; Vandeweyer, Quentin - 2025

We study the implications of deviations from covered interest rate parity for international capital flows using novel data covering euro-area derivatives and securities holdings. Consistent with a dynamic model of currency risk hedging, we document that investors' holdings of USD bonds decrease...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015330343

Optimal design of multi-asset options

Balbás de la Corte, Alejandro; Balbás, Beatriz; … - 2025

The combination of stochastic derivative pricing models and downside risk measures often leads to the paradox (risk, return) = (−infinity, +infinity) in a portfolio choice problem. The construction of a portfolio of derivatives with high expected returns and very negative downside risk...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333614

Pricing options on the maximum or the minimum of several assets with default risk

Zhang, Jiayi; Zhou, Ke - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338077

Margin constraints and asset prices

Ahn, Jungkyu - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015357637

Hedge accounting and firms' future investment spending

Kreß, Andreas; Eierle, Brigitte; Hartlieb, Sven; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015198583

Migration to new margin calculation method (JSCC-VaR) in listed financial derivatives : brief overview and impact analysis

Ichiki, Shingo - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325186

Polynomial approximation of discounted moments

Zhao, Chenyu; Beek, Misha van; Spreij, Peter; Ba, Makhtar - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394774

Volatility analysis of the Indian stock market : insights from Bank Nifty Index and futures trading

Paientko, Tetiana; Pundir, Rashmi Ravindra Kumar - 2025

Objective To diagnose the relationship between futures contract trading and the volatility of stocks in the Bank Nifty Index. Methodology Time series analysis and the GARCH model are employed to study the interaction between futures trading and spot market volatility. Findings The analysis...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417101

When no news is good news : multidimensional heterogeneous beliefs in financial markets

Gao, Can; Han, Brandon Yueyang - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015426965

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When no news is good news : multidimensional heterogeneous beliefs in financial markets

Gao, Can; Han, Brandon Yueyang - 2025

Book / Working Paper

A refracted process in options : a credit valuation application

Clare, Andrew D.; Pinheiro, Carlos Manuel; Pozzolo, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463474

The term structure of credit default swap spreads and the cross section of options returns

Zhang, Hao; Shi, Yukun; Han, Dun; Liu, Pei; Xu, Yaofei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464836

The reaction of corn futures markets to US and Brazilian crop reports

Silveira, Rodrigo Lanna Franco da; Silva, Renato Moraes; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464889

Systemic credit risk premium : insights from credit derivatives markets

Byun, Kiwoong; Kim, Baeho; Oh, Dong Hwan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464897

Water shortage and mitigation solutions : a focus on new physical and financial hedging tools

Bartolini, Nicola; Romagnoli, Silvia; Santini, Amia - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015464899

Derivatives holdings and bank systemic risk : cross-country evidence

Wang, Yu; Song, Gaoya; Lu, Yiming - 2025

In this paper, we analyse data from 493 listed banks across 28 countries to investigate the impact and mechanisms through which banks' derivatives holdings influence systemic risk. Our empirical results indicate that banks' derivatives holdings significantly increase systemic risk. Regarding the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015471460

Smile-consistent spread skew

Pirjol, Dan - 2025

We study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local volatility models. This includes the limiting case of spread options on two correlated Black-Scholes (BS) assets. We give an analytical result for the at-the-money (ATM) skew of the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448976

Paper steaks : live cattle futures markets and the financial revolution of 1964

Paulson, Tim - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451064

Does the options market underreact to firms' left-tail risk?

Chen, Bei; Quan Gan; Vasquez, Aurelio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015451354

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Does the Options Market Underreact to Firms'Left-Tail Risk?

Chen, Bei; Quan Gan - 2021

Book / Working Paper

Ukraine : Technical Assistance Report-Foreign Exchange Derivatives Market Development

2025

This report overviews the IMF technical assistance mission to enhance Ukraine's FX derivatives market amidst ongoing economic challenges. In navigating the complex environment, the National Bank of Ukraine (NBU) imposed FX restrictions to manage flows, complicating normalization of financial...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015452175

Derivatives use and analysts' forecasts : new evidence on the mechanisms from China

Zhang, Guiling; Lou, Xu; Yan, Danliang; Xu, Hui - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455613

CDS and credit : the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405339

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CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Edition: This draft: October 31, 2023

Book / Working Paper

Essays in financial intermediation and climate economics

Terstegge, Julian - 2025 - First edition

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015405618

Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Hong, Changsoo; Park, Yuen Jung - 2025

This study examines whether changes in the implied volatility of stock options have cross-sectional predictability for future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the CDS portfolio analysis, when buying a portfolio with...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432424

Option strategies and market signals : do they add value to equity portfolios?

Blanc, Sylvestre; Fragnière, Emmanuel; Naya, Francesc; … - 2025

This study explores an innovative approach to incorporating option strategies into equity portfolios. It presents an alternative direction that institutional investors could take to overcome their current challenges, in a context where traditionally diversified portfolios of only equity and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015432859

When margins call : liquidity preparedness of non-bank financial institutions

Macchiati, Valentina; Cappiello, Lorenzo; Giuzio, Margherita - 2025

We propose a novel framework to assess systemic risk stemming from the inadequate liquidity preparedness of non-bank financial institutions (NBFIs) to derivative margin calls. Unlike banks, NBFIs may struggle to source liquidity and meet margin calls during periods of significant asset price...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015434060