Developing a test standard/protocol for solar box type cookers has drawn a considerable interest among the researchers throughout the world. Recent publications on solar cookers emphasize the need of introducing the thermal performance indicators determined through exergy analysis. In the...

Bank credit has evolved from the traditional relationship banking model to an originate-to-distribute model. We show that the borrowers whose loans are sold in the secondary market underperform their peers by about 9% per year (risk-adjusted) over the three-year period following the initial sale...

This paper examines the convexity bias introduced by pricing interest rate swaps off the Eurocurrency futures curve and the market's adjustment of this bias in prices over time. The convexity bias arises because of the difference between a futures contract and a forward contract on interest...

We address three questions relating to the interest rate options market: What is the shape of the smile? What are the economic determinants of the shape of the smile? Do these determinants have predictive power for the future shape of the smile and vice versa? We investigate these issues using...

This paper examines whether higher order multifactor models, with state variables linked "solely" to underlying LIBOR-swap rates, are by themselves capable of explaining and hedging interest rate derivatives, or whether models explicitly exhibiting features such as unspanned stochastic...

This paper examines the convexity bias introduced by pricing interest rate swaps off the Eurocurrency futures curve and the incorporation of this bias in prices over time. The convexity bias arises because of the difference between a futures versus a forward contract on interest rates, since the...

Can the liquidity premium in asset prices, as documented in the exchange-traded equity and bond markets, be generalized to the over-the-counter (OTC) derivative markets? Using OTC euro ([euro]) interest rate cap and floor data, we find that illiquid options trade at higher prices relative to...

We examine whether banks price expected liquidity in US syndicated term loans. Using extensive data we show that loans with higher expected liquidity have significantly lower spreads at origination, controlling for other determinants of loan spreads such as borrower, loan, syndicate and...