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...

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...

I provide a theoretical model for two empirical phenomena observed in the NYSE and Nasdaq markets. First is the bid-ask bounce recently studied by Heston, Korajczuk and Sadka (HKS, 2008) for high-frequency data. Second is a temporary liquidity squeeze observed by Madureira and Underwood (2008)...

An ability to postpone one's execution without penalty provides an important strategic advantage in high-frequency trading. To elucidate competition between traders one has to formulate to a quantitative theory of formation of the execution price from market expectations and quotes. This theory...

I provide a theoretical model for two empirical phenomena observed in the NYSE and Nasdaq markets. First is the bid-ask bounce recently studied by Heston, Korajczuk and Sadka (HKS, 2008) for high-frequency data. Second is a temporary liquidity squeeze observed by Madureira and Underwood (2008)...

In this paper I use a reduced-form, tree-based model to fit the term structure for the AAA-rated (German) and risky (Hungarian; spread 120-140 bp) bonds in the 2-month period immediately preceding Aug. 1998 Russian default. The term structure was optimized by the stochastic, derivatives-free...

The manipulation of the LIBOR by a group of banks became one of the major blows to the remaining confidence in the finance industry (e.g. Department of Justice, 2012). Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my paper, I...

This is a teaching case related to the financial valuation of Boeing Co. based on 2011-2015 corporate reports. The case highlights serious anomaly with the Boeing Co. balance sheet in the period 2013-2015. Sample valuation projections for the Boeing stock for the period 2016-2019 are provided...