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11 results

  • 3 - Legal and Regulatory Definitions of Derivatives and Other Financial Instruments

  • Gregory Scopino, Georgetown University, Washington DC
  • Book:
    Algo Bots and the Law
    Published online:
    02 October 2020
    Print publication:
    15 October 2020, pp 80-174

  • Summary

    Now that we have learned about the common economic definitions of futures and other derivatives, it’s time to see how the relevant US laws and regulations define these financial instruments. The legal and regulatory definitions of derivatives and other financial instruments are often different from the common economic definitions of those selfsame instruments. Why is that? Contrary to what one might think, it is not because Congress wants to make life difficult for law students, or to confuse people. Instead, the differences between how various financial instruments are conceptualized in everyday life and how they are described in statutes and regulations are largely (although not solely) the result of Congress trying to make sure that people cannot easily evade applicable laws and regulations by simply creating look-alike financial instruments that would escape the regulatory framework that Congress had intended for such instruments. In many cases, the legal and regulatory definitions of financial instruments are more expansive and ambiguous than the definitions in common usage.

  • Superreplication of Options on Several Underlying Assets

  • Part of
  • Erik Ekström, Svante Janson, Johan Tysk
  • Journal:
    Journal of Applied Probability / Volume 42 / Issue 1 / March 2005
    Published online by Cambridge University Press:
    14 July 2016, pp. 27-38
    Print publication:
    March 2005
    • Article
      • You have access
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  • We investigate the conditions on a hedger, who overestimates the (time- and level-dependent) volatility, to superreplicate a convex claim on several underlying assets. It is shown that the classic Black-Scholes model is the only model, within a large class, for which overestimation of the volatility yields the desired superreplication property. This is in contrast to the one-dimensional case, in which it is known that overestimation of the volatility with any time- and level-dependent model guarantees superreplication of convex claims.