Канал: Virtual Derivatives

Christopher Schwarz -- Some Anonymous Options Trades Are More Equal than Others

Christopher Schwarz -- Some Anonymous Options Trades Are More Equal than Others

Michael Johannes -- FOMC Announcement Event Risk

Michael Johannes -- FOMC Announcement Event Risk

Jefferson Duarte -- Look-ahead Bias in Empirical Options Research

Jefferson Duarte -- Look-ahead Bias in Empirical Options Research

Chayawat Ornthanalai -- The Market for 0-Days-to-Expiration

Chayawat Ornthanalai -- The Market for 0-Days-to-Expiration

Julian Terstegge -- Carbon VIX

Julian Terstegge -- Carbon VIX

Pete Kyle -- Cumulant Risk Premium

Pete Kyle -- Cumulant Risk Premium

Hui Chen (MIT) -- Teaching Economics to the Machines

Hui Chen (MIT) -- Teaching Economics to the Machines

Gang LI -- Forecasting Option Returns with News

Gang LI -- Forecasting Option Returns with News

Mirela Sandulescu -- International Arbitrage Premia

Mirela Sandulescu -- International Arbitrage Premia

Asaf Manela -- Perpetual Futures

Asaf Manela -- Perpetual Futures

Anna Pavlova -- Strategic Arbitrage in Segmented Markets

Anna Pavlova -- Strategic Arbitrage in Segmented Markets

Bryan Kelly -- Complexity in Factor Pricing Models

Bryan Kelly -- Complexity in Factor Pricing Models

Eben Lazarus --- Forward Return Expectations

Eben Lazarus --- Forward Return Expectations

Pasquale Della Corte -- FX Volume

Pasquale Della Corte -- FX Volume

Kris Jacobs -- Identifying Demand and Supply in Index Option Markets

Kris Jacobs -- Identifying Demand and Supply in Index Option Markets

Petra Vokata -- Salient Attributes and Household Demand for Security Designs

Petra Vokata -- Salient Attributes and Household Demand for Security Designs

Davide Tomio -- Real Cost of Free Trades

Davide Tomio -- Real Cost of Free Trades

Sophia Li -- Forecasting and Managing Correlation Risks

Sophia Li -- Forecasting and Managing Correlation Risks

Alessio Saretto -- Are Equity Option Returns Abnormal? IPCA Says No

Alessio Saretto -- Are Equity Option Returns Abnormal? IPCA Says No

Joost Driessen -- Π-CAPM

Joost Driessen -- Π-CAPM

Liuren Wu -- Common Pricing of Decentralized Risk

Liuren Wu -- Common Pricing of Decentralized Risk

Tyler Muir -- Whatever it Takes?

Tyler Muir -- Whatever it Takes?

Turan Bali -- Factor Model for Stock Options

Turan Bali -- Factor Model for Stock Options

David Bates -- Stock Market Volatility and the VIX

David Bates -- Stock Market Volatility and the VIX

Taisiya Sikorskaya -- Retail Trading in Options

Taisiya Sikorskaya -- Retail Trading in Options

John Hull and Zissis Poulos -- Hedging Using Deep Reinforcement Learning

John Hull and Zissis Poulos -- Hedging Using Deep Reinforcement Learning

Viktor Todorov -- Jumps, Leverage, and Risk Premia

Viktor Todorov -- Jumps, Leverage, and Risk Premia

Xintong Zhan -- Unlocking ESG Premium from Options

Xintong Zhan -- Unlocking ESG Premium from Options

Andrea Velodin -- Hansen-Jagannathan Unbound

Andrea Velodin -- Hansen-Jagannathan Unbound

Esen Onur -- Who Trades Bitcoin Futures and Why?

Esen Onur -- Who Trades Bitcoin Futures and Why?

Amit Goyal -- Cheap Options Are Expensive

Amit Goyal -- Cheap Options Are Expensive

Math Fournier -- Understanding the Comovement between Bonds and Stocks

Math Fournier -- Understanding the Comovement between Bonds and Stocks

Ian Martin -- Sentiment and Speculation in a Market with Heterogeneous Beliefs

Ian Martin -- Sentiment and Speculation in a Market with Heterogeneous Beliefs

David Schreindorfer -- Volatility and the Pricing Kernel

David Schreindorfer -- Volatility and the Pricing Kernel

Olivier Daviaud -- Linking the performance of vanilla options to the volatility premium

Olivier Daviaud -- Linking the performance of vanilla options to the volatility premium

Jens Jackwerth -- On the Attractiveness of Short-Duration Dividend Strips

Jens Jackwerth -- On the Attractiveness of Short-Duration Dividend Strips

Peter Carr -- Stoptions

Peter Carr -- Stoptions

Heiner Beckmeyer -- Option Return Predictability with Machine Learning and Big Data

Heiner Beckmeyer -- Option Return Predictability with Machine Learning and Big Data

Hyung Joo Kim -- Characterizing the Conditional Pricing Kernel

Hyung Joo Kim -- Characterizing the Conditional Pricing Kernel

Gurdip Bakshi -- Volatility Uncertainty and VIX Futures Contango

Gurdip Bakshi -- Volatility Uncertainty and VIX Futures Contango

Pietro Veronesi -- Option-Implied Spreads and Option Risk Premia

Pietro Veronesi -- Option-Implied Spreads and Option Risk Premia

Jan Ericsson -- Asset Variance Risk and Compound Option Prices

Jan Ericsson -- Asset Variance Risk and Compound Option Prices

Mariana Khapko -- Asymmetries and the Market for Put Options

Mariana Khapko -- Asymmetries and the Market for Put Options

Andrey Ermolov -- The variance risk premium in equilibrium models

Andrey Ermolov -- The variance risk premium in equilibrium models

Donghwa Shin -- The Impact of Derivatives on Cash Markets

Donghwa Shin -- The Impact of Derivatives on Cash Markets

Markus Leippold -- Ask BERT: How Regulatory Disclosure Affects the CDS Term Structure

Markus Leippold -- Ask BERT: How Regulatory Disclosure Affects the CDS Term Structure

Ruslan Goyenko -- Joint Cross Section of Option and Stock Returns with Big Data

Ruslan Goyenko -- Joint Cross Section of Option and Stock Returns with Big Data

Liuren Wu -- Limits of Arbitrage and Primary Risk Taking in Derivatives

Liuren Wu -- Limits of Arbitrage and Primary Risk Taking in Derivatives

Marco Avellaneda -- Trading Signals In VIX Futures

Marco Avellaneda -- Trading Signals In VIX Futures

Fousseni Chabi-Yo -- A Decomposition of Conditional Risk Premia

Fousseni Chabi-Yo -- A Decomposition of Conditional Risk Premia

Stefano Giglio -- Equity Term Structures without Dividend Strips Data

Stefano Giglio -- Equity Term Structures without Dividend Strips Data

Darrell Duffie -- Reserves Were Not So Ample After All

Darrell Duffie -- Reserves Were Not So Ample After All

Nicola Fusari -- Structural Stochastic Volatility

Nicola Fusari -- Structural Stochastic Volatility

Pierre Collin-Dufresne -- How integrated are credit and equity markets?

Pierre Collin-Dufresne -- How integrated are credit and equity markets?

Stephen Figlewski -- An American Call IS Worth More than a European Call

Stephen Figlewski -- An American Call IS Worth More than a European Call

Tobias Sichert -- Shape of the Pricing Kernel and Expected Option Returns

Tobias Sichert -- Shape of the Pricing Kernel and Expected Option Returns

Bjørn Eraker -- Predictability Puzzles

Bjørn Eraker -- Predictability Puzzles

Sang Byung Seo -- Is There a Macro-Announcement Premium?

Sang Byung Seo -- Is There a Macro-Announcement Premium?

Ljubica Georgievska -- The persistent element of the no-arbitrage framework

Ljubica Georgievska -- The persistent element of the no-arbitrage framework

Chao Ying -- The Pre-FOMC Announcement Drift and Private Information

Chao Ying -- The Pre-FOMC Announcement Drift and Private Information

Shuaiqi Li -- Option Momentum

Shuaiqi Li -- Option Momentum

Yannick Dillschneider -- GMM Estimation of Stochastic Volatility Models

Yannick Dillschneider -- GMM Estimation of Stochastic Volatility Models

Gurdip Bakshi -- The Dark Matter in Equity Index Volatility Dynamics

Gurdip Bakshi -- The Dark Matter in Equity Index Volatility Dynamics

Rui Liu -- Modeling Volatility in Dynamic Term Structure Models

Rui Liu -- Modeling Volatility in Dynamic Term Structure Models

Xuhui (Nick) Pan -- The Cross Section of the Monetary Policy Announcement Premium

Xuhui (Nick) Pan -- The Cross Section of the Monetary Policy Announcement Premium

Heiner Beckmeyer -- Fed Tails: FOMC Announcements and Stock Market Uncertainty

Heiner Beckmeyer -- Fed Tails: FOMC Announcements and Stock Market Uncertainty

Esen Onur -- Risk Appetite and Intermediation by Swap Dealers

Esen Onur -- Risk Appetite and Intermediation by Swap Dealers

Jaewon Choi -- Bond Funds and Credit Risk

Jaewon Choi -- Bond Funds and Credit Risk

Dmitriy Muravyev -- Market Return Around the Clock: A Puzzle

Dmitriy Muravyev -- Market Return Around the Clock: A Puzzle

Ruslan Goyenko -- Price Pressures and Option Returns

Ruslan Goyenko -- Price Pressures and Option Returns

Donghwa Shin -- Extrapolation and Complexity

Donghwa Shin -- Extrapolation and Complexity

Petra Vokata -- Engineering Lemons

Petra Vokata -- Engineering Lemons

Jose Maria Barrero -- Short and Long Run Uncertainty

Jose Maria Barrero -- Short and Long Run Uncertainty

Antonia Kirilova -- Who Profits from Trading Options?

Antonia Kirilova -- Who Profits from Trading Options?

Chukwuma Dim -- Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

Chukwuma Dim -- Generalized Bounds on the Conditional Expected Excess Return on Individual Stocks

Patrick Augustin -- In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk

Patrick Augustin -- In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk

Paola Pederzoli -- Crash Risk in Individual Stocks

Paola Pederzoli -- Crash Risk in Individual Stocks

Wenxin Du -- Are intermediary constraints priced?

Wenxin Du -- Are intermediary constraints priced?

Steve Heston -- Recovering the Variance Premium

Steve Heston -- Recovering the Variance Premium

Gurdip Bakshi -- A New Formula for the Expected Excess Return of the Market

Gurdip Bakshi -- A New Formula for the Expected Excess Return of the Market

Ian Dew-Becker (Northwestern) -- Cross-sectional uncertainty and the business cycle

Ian Dew-Becker (Northwestern) -- Cross-sectional uncertainty and the business cycle

Kris Jacobs (U of Houston) -- Expected and Realized Returns on Volatility

Kris Jacobs (U of Houston) -- Expected and Realized Returns on Volatility

Francis Longstaff (UCLA) -- Renting Balance Sheet Space

Francis Longstaff (UCLA) -- Renting Balance Sheet Space

Torben Andersen (Northwestern) -- Option-Based Tail Variation Measures

Torben Andersen (Northwestern) -- Option-Based Tail Variation Measures

Mikhail Chernov (UCLA) -- A no-arbitrage perspective on global arbitrage opportunities

Mikhail Chernov (UCLA) -- A no-arbitrage perspective on global arbitrage opportunities

Fabio Trojani (University of Geneva & SFI) -- Smart Stochastic Discount Factors

Fabio Trojani (University of Geneva & SFI) -- Smart Stochastic Discount Factors

Peter Carr (NYU) -- The Bachelier Model and a Simpler Alternative

Peter Carr (NYU) -- The Bachelier Model and a Simpler Alternative