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Price Manipulation and American Options in Illiquid Markets. Auteur : Alexandre F. Roch.

A setup in which a large trader has sold a certain number of American-type derivatives is considered. The large trader’s trades are assumed to have an impact on prices so that he may be tempted to minimize the payoff of the derivative by manipulating the underlying asset.


Do mutual fund investors trust inflation estimates from surveys or from asset markets?

Aymen Karoui, et Padma Kadiyala,
This paper studies how inflows into TIPs and Treasury funds respond to information about future inflation. First, we find that flows into TIPs decrease, and flows into Treasury funds increase when expected inflation increases. Second, we find that flows into Treasury funds are more sensitive to the Michigan survey of expected inflation, than to inflation forecasts that emerge from asset prices. The break‐even inflation rate (BEI) that is determined by a no‐arbitrage constraint between nominal Treasury yields and real TIP yields has no marginal explanatory power for flows into either TIPs or into Treasury funds.