New Working Paper: Maturity Structure of Commodity Roll Strategy

Abstract:  In this paper we investigate the maturity-structure of roll strategy returns in the energy futures markets. Our innovation is to report and analyze the risk/return profile, the Sharpe ratio, and the asset pricing loadings of rollover strategies based on futures contracts of the same underlying commodity but with maturities ...

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New Publication: Volatility Can be Detrimental to Option Values!

Forthcoming, 2016, Economics Letters, joint work with Arash Fahim Abstract: The value of digital options (both European and American types) can have an inverse-U shape relationship with the volatility of the underlying process! This seemingly counterintuitive proposition is driven by a particular feature of Maringale processes bounded from below (including the ...

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