We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expressions for call power options and constant...

Bond markets are over the counter markets, plagued with illiquidity, price volatility, mispricing, sovereign restructuring issues and other difficulties. We price powered bonds based on an interest rate term structure of a stochastic strings model. Power exchange bond options resolve issues...

We study power exchange options written on zero-coupon bonds under a stochastic string frame- work. We obtain closed-form expressions for pricing and hedging bond power exchange options and, as particular cases, the corresponding expressions for call power options and constant un- derlying...

We study the effects of FX liquidity risk on carry trade returns using a novel low-frequency market-wide liquidity measure. We show conclusively that the vast majority of variation in carry trade returns can be explained by two risk factors (liquidity risk and market risk). Our results are...

Abstract Double-sorting 34 currencies from developed, and emerging economies into different portfolios based on the level of macro risk and political risk, we provide novel evidence that local determinants of sovereign risk, including local currency volatility, are priced in the FX markets....

In Vietnam, we find strong evidence that foreign investors hold higher percentage stakes in firms located in the south of Vietnam, firms listed on the Hochiminh stock exchange, firms with low past returns and firms that are listed longer on the exchanges. The coefficients on firm size and firm...

We study the effects of FX liquidity risk on carry trade returns using a low-frequency market-wide liquidity measure. We show that a liquidity-based ranking of currency pairs can be used to construct a mimicking liquidity risk factor, which helps in explaining the variation of carry trade...

We analyze demographic and employing institution information to determine whether differential attendee characteristics affect the importance of conference attributes among constituencies. We test some commonly held priors, like location, cost and conviviality factors and show that these are not...