A central theme in existing literature is that increased disclosure and transparency reduce the level of information asymmetry between market makers and informed traders and thus increase liquidity. In contrast, in this study we propose and empirically investigate a new and unexplored channel...

We propose a simple multidimensional jump-diffusion process for pricing exotic derivatives with multiple underlyings. This process ensures the possibility of sudden drops in asset prices, fits several well-known empirical properties of asset returns, and incorporates dependencies between...

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...

We show by Monte Carlo simulations that the jackknife estimation of QUENOUILLE (1956) provides substantial bias reduction for the estimation of short-term interest rate models applied in CHAN ET AL. (1992) - hereafter CKLS (1992). We find that an alternative estimation based on NOWMAN (1997)...

We investigate the efficiency of the credit default swap (CDS) market via the profitability and risk of capital structure arbitrage strategies based on observed mispricing in the CDS market over the years 2002 to 2006. We find that the CDS market has been inefficient in our observation period...

In this paper we address the issue of counterparty credit risk in Exchange Traded Notes (ETNs). An ETN is a tracking product which is designed as an unsecured debt security. As such, it is subject to the issuers default risk. We describe a standard reduced-form pricing framework to gauge the...