DERIVATIVES

Incorporating Liquidity into Option Pricing: a Stochastic Approach

Posted on March 16, 2025 By Harbourfront Technologies

Subscribe to newsletter Liquidity is an overlooked research area, yet it plays a crucial role in financial markets. Trading system developers often use the bid-ask spread as a proxy for liquidity, but this approach is less effective in the options market. Reference proposes a …

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RISK MANAGEMENT

Stock and Volatility Simulation: A Comparative Study of Stochastic Models

Posted on March 12, 2025 By Harbourfront Technologies

Subscribe to newsletter Stress testing and scenario analysis are essential tools in portfolio management, helping portfolio and risk managers assess potential vulnerabilities under extreme market conditions. By simulating adverse scenarios such as financial crises, interest rate shocks, or geopolitical events, these techniques provide insights into …

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TRADING

Are Weekend Gaps Always Filled? A Look at Stock Indices

Posted on March 8, 2025 By Harbourfront Technologies

Subscribe to newsletter The weekend price gap is a well-known phenomenon in financial markets, particularly in assets that trade continuously during the week but pause over the weekend, such as stocks, futures, and options. When markets reopen after the weekend, prices sometimes experience a gap …

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Latest Post

How Bitcoin Options Compare to Equity Index Options: Volatility, Correlation, and Skew

Posted on March 4, 2025 By Harbourfront Technologies

Subscribe to newsletter Bitcoin options are derivative contracts that grant investors the right, but not the obligation, to buy or sell Bitcoin at a predetermined price before a specified expiration date. Major cryptocurrency exchanges offer options on Bitcoin and other …

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