Secure multi-party computation (MPC) allows for the implementation of smart contracts that can be programmed to self-execute ad-hoc financial contracts constructed dynamically and traded on a variety of auction platform typologies (over-the-counter, peer-to-peer, electronic limit order books)....

In this article we illustrate how to price bonds and calculate the accrued interest, clean- and dirty price, from which we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical bond pricing formulae and show how to modify this...

This paper uses the celebrated no-arbitrage affine Gaussian term structure model applied to index-linked and standard government bonds to derive expected inflation rates and inflation risk premia, in the euro area and in the US. Maximum likelihood estimates show that the model describes the...

Estimates of the real term structure for the euro area implied by French index-linked bonds are obtained by means of a smoothing spline methodology. The real term structure allows computation of the constant-maturity inflation compensation, which is compared with the surveyed inflation...

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Realized divergence gauges the distinct realized moments associated with time-varying uncertainty and is tradeable with divergence swaps engineered from delta-hedged option portfolios. Consistently with established notions of symmetry in arbitrage-free option markets, implied divergence...

We study the determinants of sovereign credit risk in the euro area in a time period that includes the financial and sovereign debt crisis, as well as the unconventional monetary policy adopted by the European Central Bank. First, we detect the presence of commonality in sovereign credit spreads...

An important problem in the insurance and banking industries is that of pricing risk or premium valuation. When the empirical data is not large, and loss distributions are inferred from the data, a potentially large sample dependence of the premia on the data is to be expected. The maximum...

We propose an econometric model to decompose corporate bond spreads into compensation required by investors for unpredictable future changes in the credit environment and for expected default losses. We use the model to understand whether the significant reduction in corporate bond spreads...

The proliferation of factor investing strategies in recent years has highlighted the idea that a portfolio can harvest improved risk-adjusted returns through timed exposure to risk factors during times of elevated risk premia. While there is a large body of research on such risk factors and risk...