Research

Implied dynamics of dividend futures

April 1, 2020

The objective of this project is to build mathematical models and tools to measure, monitor and analyze the risks of Dividend Futures and Dividend Futures portfolios.

This new asset class is characterized by extremely low liquidity, in particular for SSDFs and long maturities. Thus, it is not uncommon to observe that the settlement price of a listed SSDF remains unchanged for several trading days.

Research Paper (Fill in the form to download it)

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