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Smart Derivatives: On-Chain Forwards for Digital Assets 智能衍生品:数字资产链上远期交易
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3672384
A. Rius, Eamonn Gashier
{"title":"Smart Derivatives: On-Chain Forwards for Digital Assets","authors":"A. Rius, Eamonn Gashier","doi":"10.2139/ssrn.3672384","DOIUrl":"https://doi.org/10.2139/ssrn.3672384","url":null,"abstract":"In this paper, we present a framework for the development of on-chain forwards (and futures). This utilises smart contracts to automate the custody of collateral and settlement of payouts on expiry. Importantly, our framework also enables forwards to be traded without counterparty risk or reliance on off-chain assets (such as fiat currencies). To achieve this, we build on our previous work on on-chain options and demonstrate how the relevant mathematical guarantees can be extended to forwards. In addition, we discuss recent trends in cryptoasset derivatives, capital requirements, and other design considerations (such as the use of split contracts). This paper will be of interest to academics and practitioners interested in financial smart contracts.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"90 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115685930","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Strategic Trade when Securitized Portfolio Values Are Unknown 证券化投资组合价值未知时的策略交易
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-06-01 DOI: 10.1016/J.JBANKFIN.2020.105816
Louis R. Piccotti
{"title":"Strategic Trade when Securitized Portfolio Values Are Unknown","authors":"Louis R. Piccotti","doi":"10.1016/J.JBANKFIN.2020.105816","DOIUrl":"https://doi.org/10.1016/J.JBANKFIN.2020.105816","url":null,"abstract":"","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"62 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"118068229","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
SABR Smiles for RFR Caplets SABR对RFR卡套微笑
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-04-03 DOI: 10.2139/ssrn.3567655
Sander Willems
{"title":"SABR Smiles for RFR Caplets","authors":"Sander Willems","doi":"10.2139/ssrn.3567655","DOIUrl":"https://doi.org/10.2139/ssrn.3567655","url":null,"abstract":"We present a natural extension of the SABR model to price both backward and forward-looking RFR caplets in a post-Libor world. Forward-looking RFR caplets can be priced using the market standard approximations of Hagan et al. (2002). We provide closed-form effective SABR parameters for pricing backward-looking RFR caplets. These results are useful for smile interpolation and for analyzing backward and forward-looking smiles in normalized units.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116200054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Operations of Futures and Options with Reference to India Infoline Ltd, India 以印度Infoline有限公司为例的期货和期权操作
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-03-31 DOI: 10.2139/ssrn.3564791
Y. Maheswari, Dr. Nalla Bala Kalyan
{"title":"Operations of Futures and Options with Reference to India Infoline Ltd, India","authors":"Y. Maheswari, Dr. Nalla Bala Kalyan","doi":"10.2139/ssrn.3564791","DOIUrl":"https://doi.org/10.2139/ssrn.3564791","url":null,"abstract":"Financial markets are helpful to provide liquidity in the system and for the smooth functioning of the system. These markets are the centres that provide facilities for buying and selling of financial claims and services. The emergence of the market for derivatives products, most notably forwards, futures and options, can be traced back to the willingness of risk-averse economic agents to guard themselves against sun certainties arising out of fluctuations in asset prices. By their very nature, the financial markets are marked by a very high degree of volatility. Through the use of derivative products, it is possible to partially or fully transfer price risks by locking-in asset prices. As instruments of risk management, these generally do not influence the fluctuations in the underlying asset prices. However, by locking-in asset prices, derivative products minimize the impact of fluctuations in asset prices on the profitability and cash flow situation of risk-averse investors. The article major intends is to scrutinize operations of futures and options with reference to India Infoline Ltd.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121510003","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A Note of Trading the Term Structure of VIX Futures 交易波动率指数期货的期限结构说明
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-03-18 DOI: 10.2139/ssrn.3556779
Anusar Farooqui
{"title":"A Note of Trading the Term Structure of VIX Futures","authors":"Anusar Farooqui","doi":"10.2139/ssrn.3556779","DOIUrl":"https://doi.org/10.2139/ssrn.3556779","url":null,"abstract":"The term structure of VIX futures contains a very strong signal of dealer risk appetite. Unlike balance sheet quantities, this feature is available at very high frequencies. Here we exhibit two systematic strategies to mine the attendant risk premium from the term structure of expected volatility. We optimize our two hyper-parameters by OOS cross-validation. We compare our strategies to holding the S&P 500, selling short-term vol un-hedged, and a portfolio that sells short-term vol and hedges by going long on medium-term vol. We find that our strategies allow us to harvest a considerable portion of the risk premium associated with the balance sheet management of market-based intermediaries. Both in-sample and OOS, the risk-adjusted returns on our strategies are at least twice as high as the three benchmarks.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127279909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps? 隐含波动率面信息含量:期权价格能否预测跳涨?
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-02-09 DOI: 10.2139/ssrn.3454330
Yufeng Han, Fangda Liu, Xiaoxiao Tang
{"title":"The Information Content of The Implied Volatility Surface: Can Option Prices Predict Jumps?","authors":"Yufeng Han, Fangda Liu, Xiaoxiao Tang","doi":"10.2139/ssrn.3454330","DOIUrl":"https://doi.org/10.2139/ssrn.3454330","url":null,"abstract":"We ask whether option prices contain information on the likelihood and direction of jumps in the underlying stock prices. Applying the partial least squares (PLS) approach to the entire surface of the implied volatilities (IV), we show that option prices can successfully predict downward jumps in stock prices, but not upward jumps. The PLS estimated downward jump factor can predict stock returns with a spread of 1.53% per month between stocks predicted to have the lowest probability of downward jumps and stocks predicted to have the highest probability of downward jumps. Both put and call option prices, and options of both short and long maturity contribute to the predictability. Furthermore, the predictability of the downward jump is robust to many firm characteristics as well as options related variables. Consistent with the notion that informed investors trade in the options markets to profit from negative information in order to circumvent the short-sale constraint, we find that stronger predictability is associated with tighter short-sale constraints in the equity market, and in periods when the market has poor performance.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-02-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126675452","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Unintended Consequences of the Global Derivatives Market Reform 全球衍生品市场改革的意外后果
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2020-01-13 DOI: 10.2139/ssrn.3518411
P. Gandré, M. Mariathasan, Ouarda Merrouche, S. Ongena
{"title":"Unintended Consequences of the Global Derivatives Market Reform","authors":"P. Gandré, M. Mariathasan, Ouarda Merrouche, S. Ongena","doi":"10.2139/ssrn.3518411","DOIUrl":"https://doi.org/10.2139/ssrn.3518411","url":null,"abstract":"We investigate regulatory arbitrage during the G20’s global derivatives market reform. Using hand-collected data on staggered reform progress, we find that banks shift their trading towards less regulated jurisdictions. The result is driven by agenda items – such as the promotion of central clearing – that are costly, but do not directly benefit banks. We further document that subsidiaries in jurisdictions with more reform progress shift to riskier portfolios. Alleviating endogeneity concerns we show that reform progress is primarily driven by structural (time-invariant) factors.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-01-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123707669","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Trading Activity in Commodity Futures and Options Markets 商品期货和期权市场的交易活动
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2019-11-18 DOI: 10.2139/ssrn.3542967
Tianyang Zhang
{"title":"Trading Activity in Commodity Futures and Options Markets","authors":"Tianyang Zhang","doi":"10.2139/ssrn.3542967","DOIUrl":"https://doi.org/10.2139/ssrn.3542967","url":null,"abstract":"Little is known about trading activity in commodity options market. We study the information content of commodity futures and options trading volume. Time-series tests indicate that futures contracts in a portfolio with the lowest option-to-futures volume ratio (O/F) outperform those in a portfolio with the highest ratio by 0.3% per week. Cross-sectional tests show that O/F has higher predictive power for futures returns than such traditional risk factors as the carry, momentum, and liquidity factors. O/F has longer predictive horizon for post-announcement returns than the information contained in the monthly World Agricultural Supply and Demand Estimates (WASDE) reports. The analysis of the weekly Commitments of Traders (COT) reports indicates that commercials (hedgers) provide liquidity to non-commercials (speculators) in short term in commodity options market.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130904202","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Efficient Derivative Pricing and Sequestered Capital: The Case of Investment Trust Pricing in 1929 有效衍生品定价与资本隔离:以1929年投资信托定价为例
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2019-11-01 DOI: 10.2139/SSRN.3224781
J. McClure, D. Thomas, S. Horwitz
{"title":"Efficient Derivative Pricing and Sequestered Capital: The Case of Investment Trust Pricing in 1929","authors":"J. McClure, D. Thomas, S. Horwitz","doi":"10.2139/SSRN.3224781","DOIUrl":"https://doi.org/10.2139/SSRN.3224781","url":null,"abstract":"The efficient market hypothesis implies that the price of a financial derivative should mirror the value of its underlying asset(s). This model is used to reconsider an historic anomaly—the large, allegedly irrational, premia on investment trusts that preceded the 1929 crash. First, we reexamine evidence—highly cited for decades—alleging anomalous premia on portfolio-publishing trusts preceding the crash. Our assessment, based on current information-gathering capabilities, shows no evidence of anomalous premia in the cases considered. Secondly, we test our model on a data set of over 3,000 price observations, using regression discontinuity in time (RDiT) designs. As expected, the prices of blind trusts quickly corrected with the disclosure of their underlying portfolios. Our findings suggest that sequestered capital, rather than irrational exuberance, was primarily responsible for the premia on trusts in 1929.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"271 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115955155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Index Option Trading Activity and Market Returns 指数期权交易活动和市场回报
ERN: Other Econometric Modeling: Derivatives (Topic) Pub Date : 2019-10-17 DOI: 10.2139/ssrn.2798390
Tarun Chordia, A. Kurov, Dmitriy Muravyev, A. Subrahmanyam
{"title":"Index Option Trading Activity and Market Returns","authors":"Tarun Chordia, A. Kurov, Dmitriy Muravyev, A. Subrahmanyam","doi":"10.2139/ssrn.2798390","DOIUrl":"https://doi.org/10.2139/ssrn.2798390","url":null,"abstract":"Do order flows in index derivatives play an informational role? Weekly index put order flow on the International Securities Exchange positively and robustly predicts weekly S&P 500 index returns. This result obtains mainly for net put buying and is stronger in high VIX periods and in periods following macroeconomic announcements. We explore rationales for our findings, which include investor sentiment, the notion that market makers trade on information in options markets, and option-based risk protection strategies used by retail investors. The last explanation accords best with our analysis. This paper was accepted by Tyler Shumway, finance.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130730068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 23
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