, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … and feedback effects in multifactor Wishart stochastic volatility for option pricing, option pricing with non …-Gaussian scaling and infinite-state switching volatility, stock return and cash flow predictability: the role of volatility risk, the …

-implied volatility, dealer funding costs and competition between dealers. Several of these variables are significant, but their … surprises, which suggests that private information does not hinder CDS liquidity. …

Under Basel III rules, banks become subject to a liquidity coverage ratio (LCR) from 2015 onwards, to promote short …-term resilience. We investigate the effects of such liquidity regulation on bank liquid assets and liabilities. Results indicate co …-integration of liquid assets and liabilities, to maintain a minimum short-term liquidity buffer. Still, microprudential regulation …

I study a model of market-liquidity provision by levered intermediaries that, besides operating trading desks, run … deposit-taking franchises. Levered intermediaries’ heightened incentive to absorb risk helps to counteract liquidity …. However, liquidity provision may also overshoot, leading to unhealthy price bubbles and causing asset origination to become …

is a substitute for storability. To do so, we examine power futures prices from countries that differ in their power … supply and test whether power futures prices contain information about expected future spot prices and risk premiums and … examine whether futures prices from a market in which power supply is more flexible would lead to futures prices that are more …