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Showing 1 - 10 of 39 results for 'Derivatives'

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Working Paper

Causes and Consequences of Margin Levels in Futures Markets

February 28, 2014 - Esben Hedegaard

Using a Freedom of Information Act request, we obtained a data set on margin requirements for 16 commodity futures contracts, and used it to explore how margins are set and to test the existing theories on the implications of changing margin levels.

Journal Article

Demand-Based Option Pricing

February 25, 2009 - Nicolae Gârleanu Lasse H. Pedersen Allen M Poteshman

Index and equity options are notoriously difficult to price.

Working Paper

Cash-Flow Maturity and Risk Premia in CDS Markets

November 12, 2014 - Diogo Palhares

We study the risk adjusted returns of credit default swaps of different maturities to learn more about the impact of higher sensitivities to credit fundamentals.

Working Paper

Beyond Basis Basics: Leverage Demand and Deviations from the Law of One Price

February 7, 2020 - Todd Hazelkorn Tobias J. Moskowitz Kaushik Vasudevan

Bases are driven by intermediaries’ cost of capital and the amount of leverage demand for an asset. Focusing on leverage demand, we find bases negatively predict futures and spot market returns with the same sign in both global equities and currencies.

Working Paper

Early Option Exercise: Never Say Never

March 18, 2016 - Mads Vestergaard Jensen Lasse H. Pedersen

A classic rule in financial economics: Never exercise a call option and never convert a convertible bond, except just before expiration or dividend payments. This paper shows how this rule breaks down when financial frictions are introduced.

Journal Article

An Alternative Option to Portfolio Rebalancing

March 5, 2018 - Roni Israelov Harsha Tummala

We explore how investors can use an implementable option selling overlay to improve portfolio rebalancing.

Journal Article

Derivatives Strategies for Endowment and Foundation Portfolios: The Manager Perspective

January 1, 1996 - Cliff Asness

Many endowment and foundation funds automatically maintain a mix of 60% stocks and 40% bonds, and numerous researchers will tell them they are wrong.

Journal Article

An Alternative Future: Part I

January 1, 2004 - Cliff Asness

Depending on whom you ask, hedge funds are either the wave of the future or a dangerous fad that has been grossly overcapitalized, and all will end in ruin.

Journal Article

Valuation in Over-the-Counter Markets

August 27, 2007 - Darrell Duffie Nicolae Gârleanu Lasse H. Pedersen

We document the impact on asset prices of search-and-bargaining frictions in over-the-counter markets.

Journal Article

The Tax Benefits of Direct Indexing: Not a One-Size-Fits-All Formula

May 7, 2021 - Nathan Sosner Stanley Krasner Michael Gromis

An investor holding a direct indexing portfolio can obtain tax benefits by harvesting losses on individual stock positions. We show that investors with allocations to hedge funds and derivatives are the most likely category of investors to have systematic short-term capital gains in their portfolios and, therefore, benefit the most from losses harvested by direct-indexing strategies. We show how tax benefits are affected by equalizing the tax rate applicable to long-term and short-term capital gains.