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 …

The sovereign's intention to issue inflation-linked bonds (ILB) is to save money. More than 15 years' experience with … this financial instrument in the United States and in several other countries has led to the conclusion that these bonds … are costly and basically characterized by low liquidity issues. Recently, various papers have started to analyze the …

is most needed. We examine bond correlation using a broad sample of US corporate bonds. We find bond correlation to be …

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 …

The trading of bonds and swaps largely relies on bank dealers as core market-makers. Dealers provide liquidity and … bonds and swaps currently traded and how liquid are these markets?, (2) how do the structural changes affect the dealer … to their market-making activities. The ongoing challenges faced in ensuring resilient provision of liquidity were also …