Empirical Analysis of Financial Derivatives

Dear Colleagues,

In the last thirty years, financial derivatives have become increasingly important in the world of finance. Futures, swap contracts and options are now actively traded on many exchanges and by many different financial agents in the over-the-counter market. Empirical pricing of these securities is different from the pricing of the underlying assets and requires of a diverse set of analytical tools, different market assumptions and information sets than standard asset pricing models. The empirical analysis of financial derivatives also covers other aspects such as price discovery issues between spot and derivatives prices. The presence of arbitrage opportunities on high-frequency trading is also of much interest to financial practitioners as well as the effect of volatility risk and heavy tails on financial derivatives pricing. There is also renewed interest in understanding empirically the interaction between the occurrence of financial crises and the use of sophisticated derivatives markets for activities that range from the securitization of debt to the implementation of managers’ reward packages. The aim of this Special Issue is to obtain a deeper insight into these and other related topics that are of interest to academics and financial practitioners alike.

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• Cointegration and price discovery
• Empirical option pricing
• High-frequency data
• Volatility risk
• Financial crises