The real estate finance literature provides rich insights into circumstances that expose mortgage borrowers to risk. However, there is no characterization of how mortgage contracts might play a role in helping households manage their portfolio risks. This paper provides a framework for...

The thesis is focused on the phenomenon of the cross–currency swap and tenor swap basis spread in foreign exchange (FX) and interest rate markets, which contradicts textbook no arbitrage conditions and has become an important feature of these markets since the beginning of the Global Financial...

This study empirically examines the effect of foreign exchange (FX) market liquidity risk and volatility on the excess returns of currency carry trades. In contrast to the existent literature, we construct an alternative proxy of liquidity risk - violations of no arbitrage bounds in the forward...

The phenomenon of the frequency basis (i.e. a spread applied to one leg of a swap to exchange one oating interest rate for another of a different tenor in the same currency) contradicts textbook no-arbitrage conditions and has become an important feature of interest rate markets since the...