Cahiers de recherche

Price Manipulation and American Options in Illiquid Markets

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.