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 …

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 …

Market liquidity and market making – the case of fixed income and low interest rates Market liquidity has received a … lot of attention lately, especially in fixed-income markets. This paper studies the determinants of market liquidity in a …, market makers provide liquidity to the market, which they are compensated for through the difference between the prices at …

transaction costs of liquidity, credit risk, and other traditional bond pricing factors. Further, information asymmetry can help …Taking advantage of recently augmented corporate bond transaction data, we examine the pricing implications of informed … trading in corporate bonds and its ability to predict corporate defaults. We find that microstructure measures of information …

Ibbotson's “Stocks, Bonds, Bills and Inflation” data set is widely used because it provides monthly US financial data … total returns on long-term corporate bonds and long-term government bonds. This excess return is used in empirical research … flawed in two ways: (1) it is not based on subtracting maturity-matched government bonds from corporate bonds, and therefore …

In this paper, we present effect of the liquidity on risky bonds pricing. The liquidity effect is represented by the … adjustment to the single price format. We begin with bid-ask pricing format and it helps to observe effect of the liquidity on … each step of pricing. In the first section, we present simplified scheme when default can occur only at maturity. Next, we …

The main purpose of the paper is to define a model to estimate the liquidity risk for bonds, since very frequently … of liquidity risk are whether the bonds are listed, the default of the bond and maturity.The fitting of the model is … bond liquidity risk are: currency, exchange, issue date, maturity, coupon type, coupon, duration, yield, rating Moody …