In this paper, we investigate components of the bond bid-ask spreads for the emerging market in Russian sovereign bonds in the late 90s. We identify the size of the bid-ask spreads with liquidity because many of trades in illiquid securities happen in closed transactions and accurate information...

It has been long recognized that endogenous default probabilities cannot explain spreads between corporate and the riskless bonds. Recently, this issue has been subjected to rigorous scrutiny. Previous studies have found that for investment-grade debt, structural models explain only 15-25% of...

The working paper has been superseded by the book quoted above. My own comments on the published book are provided below. The book was prepared without professional editing and proofreading was done on my own account. Hence, the book contains many errors, which could only be corrected by paying...

There is not much doubt in the public mind that the dot-com boom on NASDAQ in the end of 90s represented a bubble. Indeed, major violations of rationality were observed. For instance, some dot-coms, which terminated their business still held positive market value. A market cap of the Internet...

In my essay, I formulate an alternative scenario for the current crisis of the US financial system. Unintended and poorly understood consequences of the Gramm-Leach-Bliley (1999) banking reform and, especially, the Bankruptcy Abuse Prevention and Consumer Protection Act (2005) created numerous...

The notion of bubbles is ubiquitous in the public discussion of finance. Yet, the empirical discovery of bubbles is notoriously difficult. The main shortcoming of the current approaches is that they rely on the estimation of the “fundamental value of an asset”, which is hard to estimate and...

The notion of “relativistic finance” became ingrained in public imagination and has been asserted in many mass-media reports. Yet, despite an observed drive of the most reputable Wall Street firms to establish their servers ever closer to the trading hubs, there is surprisingly little...

The extremely useful method of Malliavin calculus has not yet gained adequate popularity because of the complicated analytical apparatus of this method. The author attempts here to propose a simplified algebraic formalism similar to Malliavin calculus, but based on the notion of...