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 …

The purpose of this paper is to determine the factors that shape the liquidity levels of euro area sovereign bonds. The …-sectional regression model. The results revealed that characteristics of sovereign bonds are indeed highly linked with bond liquidity … imposed on dealers were found to be negatively linked with the liquidity level of sovereign bonds. …

-driven convertible bonds pricing model, which is inspired by the recent success of generative adversarial networks (GAN), to address the … model has a better convertible bonds pricing performance than both model-driven models, i.e. Black-Scholes, the constant …Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible …

This paper attempts to capture the relationship between stock market movements and its endogenous liquidity measures … resiliency dimensions of market liquidity using suitable liquidity measures (proxies). Findings suggest that multidimensional … liquidity measures like the volume of trade, spread, market efficiency coefficient, turnover rate, trading probability, and the …

highlights the importance of liquidity spirals that arise from the interaction of search frictions and endogenous credit …

. Overwhelmingly, empirical studies emphasize that HFT improves the quality of financial markets in terms of increased liquidity …, liquidity and market capitalization on the Bulgarian capital market following the global financial crisis, concluding that the …