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Full-Text Articles in Applied Mathematics
A Quantitative Analysis On Bitmex Perpetual Inverse Futures Xbtusd Contract, Yue Wu
A Quantitative Analysis On Bitmex Perpetual Inverse Futures Xbtusd Contract, Yue Wu
Undergraduate Economic Review
The perpetual inverse futures contract is a recent and most popularly traded cryptocurrency derivative over crypto derivatives exchanges. Exchanges implement a liquidation mechanism that terminates positions which no longer satisfy maintenance requirements. In this study, we use regression, stochastic calculus, and simulation methods to provide a quantitative description of the wealth/return process for holding an XBTUSD contract on BitMEX, examine the funding rate and index price properties, and relate liquidation to leverage as a stopping time problem. The results will help investors understand liquidation to optimize their trading strategy and researchers in studying the design of crypto derivatives.
Pricing Asian Options: Volatility Forecasting As A Source Of Downside Risk, Adam T. Diehl
Pricing Asian Options: Volatility Forecasting As A Source Of Downside Risk, Adam T. Diehl
Undergraduate Economic Review
Asian options are a class of derivative securities whose payoffs average movements in the underlying asset as a means of hedging exposure to unexpected market behavior. We find that despite their volatility smoothing properties, the price of an Asian option is sensitive to the choice of volatility model employed to price them from market data. We estimate the errors induced by two common schemes of forecasting volatility and their potential impact upon trading.