This paper investigates the presence of liquidity premia in the relative pricing of assets traded on the Spanish …. The results suggest the existence of a liquidity premium for post-benchmark bonds (both strippable and non-strippable). … government securities market. First, we propose a classification of bonds into four different categories based on their degree of …

We examine whether bond ratings contain pricing relevant information, that is unavailable to investors form other …, was not preceded by any announcement, and was carried simultaneously for all bonds. …

building block of no-arbitrage pricing theory. Nowadays, in the modern financial world after the credit crunch, some Libors are …

of these effects based on the consideration of credit and liquidity variables. Then, we focus our attention on the … pricing derivatives. We illustrate the main qualitative features of the new market practice, called CSA discounting, and we …

terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners, based … on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and the … classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple …

This paper presents a comparison of alternative option pricing models based either on jump-diffusion nor stochastic … negative correlation between volatility and underlying returns. Moreover, we also allow for liquidity frictions to recognize … performance and a better hedging ability, although the model with liquidity costs seems to display better in-sample behavior …

-discounting, in terms of credit and liquidity effects. We also review the new modern pricing approach prevailing among practitioners …, based on multiple yield curves reflecting the different credit and liquidity risk of Libor rates with different tenors and … report the classical and modern no-arbitrage pricing formulas for plain vanilla interest rate derivatives, and the multiple …

We revisit the problem of pricing and hedging plain vanilla single-currency interest rate derivatives using multiple …

power for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2011 period. The …

for 72 portfolios of international equities, corporate bonds, and currencies over the 1994 to 2013 period. The forecasting … liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …