Financial intermediaries typically offer derivatives to their customers only when they can hedge the exposures from these transactions. Baron and Lange show that parimutuel auctions can be used by financial intermediaries to offer derivatives without exposing themselves to risk.

About the Author

KEN BARON is currently in the Quantitative Strategies Group at Citadel Investment Group, an investment management company. Formerly, he was the Director of Research at Longitude, Inc. He earned a PhD in Statistics from Stanford and a BA in Mathematics from the University of Chicago. Previously, Baron held posts at Moore Capital, where he was the Director of Quantitative Research, and CSFB, where he was a Director in Global Foreign Exchange.

JEFFREY LANGE is currently a Managing Director at Guggenheim Partners, an investment management company in New York. Lange co-founded Longitude and was a former director of Longitude, Inc. He earned undergraduate and graduate degrees in Engineering from Stanford University, earned his law degree from Yale, and did his doctoral work in Risk and Insurance at the Wharton School. Before becoming a practitioner in the financial markets, Lange was on the faculty at the University of Pennsylvania. His previously published research covers law and economics and the term structure of interest rates.

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