Library

Derivatives Pricing

Macroeconomics and Financial Markets

Volatility

• Andersen, T. G., Fusari, N., & Todorov, V. (2017). Short‐Term Market Risks Implied by Weekly Options. The Journal of Finance.

• Griffin, J. M., & Shams, A. (2017). Manipulation in the VIX?

• Israelov, R., & Nielsen, L. N. (2015). Still Not Cheap: Portfolio Protection in Calm Markets. The Journal of Portfolio Management, 41(4), 108-120.

• Haug, E. G., & Taleb, N. N. (2011). Option traders use (very) sophisticated heuristics, never the Black–Scholes–Merton formula. Journal of Economic Behavior & Organization, 77(2), 97-106.

• Santa-Clara, P., & Saretto, A. (2009). Option strategies: Good deals and margin calls. Journal of Financial Markets, 12(3), 391-417.

• Bates, D. S. (2003). Empirical option pricing: A retrospection. Journal of Econometrics, 116(1), 387-404.

• Pagano, M., Serrano, A. S., & Zechner, J. (2019). Can ETFs contribute to systemic risk? Reports of the Advisory Scientific Committee, No. 9 / June 2019, European Systemic Risk Board.

• Brusa, F., Savor, P. G., & Wilson, M. I. (2016). One central bank to rule them all.

• Bernile, G., Hu, J., & Tang, Y. (2016). Can information be locked up? Informed trading ahead of macro-news announcements. Journal of Financial Economics, 121(3), 496-520.

• Kurov, A., Sancetta, A., Strasser, G., & Wolfe, M. H. (2016). Price drift before US macroeconomic news: private information about public announcements? Working Paper.

• Zhou, J. C. (2015). Sophisticated trading and market efficiency: evidence from macroeconomic news announcements. Working paper.

• Zhou, J. C. (2015). The Good, the Bad, and the Ambiguous: The Aggregate Stock Market Dynamics around Macroeconomic News. Working Paper.

• Lucca, D. O., & Moench, E. (2015). The Pre‐FOMC Announcement Drift. The Journal of Finance, 70(1), 329-371.

• Lucca, D. O., & Moench, E. The Pre-FOMC Announcement Drift: More Recent Evidence. Liberty Street Economics, New York Fed, 26 November 2018.

• Savor, P., & Wilson, M. (2013). How much do investors care about macroeconomic risk? Evidence from scheduled economic announcements. Journal of Financial and Quantitative Analysis, 48(02), 343-375.

• Bartolini, L., Goldberg, L. S., & Sacarny, A. (2008). How economic news moves markets.

• Andersen, T. G., Bollerslev, T., Diebold, F. X., & Vega, C. (2007). Real-time price discovery in global stock, bond and foreign exchange markets. Journal of international Economics, 73(2), 251-277.

• Balduzzi, P., Elton, E. J., & Green, T. C. (2001). Economic news and bond prices: Evidence from the US Treasury market. Journal of financial and Quantitative analysis, 36(04), 523-543