In this paper we present an innovative and straightforward model for constructing consistent and accurate implied volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks

This paper reviews key policy messages and warnings about developments in the run-up to the global financial and economic crisis that began in mid-2007 which are contained in the main publications of the IMF, the OECD and the BIS and discuss issues relevant to strengthening their surveillance...

In this paper we elaborate on what is commonly referred to as the Skew Delta of a Variance Swap, i.e. the sensitivity of the fair strike of a variance swap relative to moves in the underlying's spot price. In particular we examine whether or not a pure variance product such as a variance swap...

This paper studies the interplay of the public-private dichotomy and the externalities argument in the context of recently enacted U.S. “Private Fund Investment Advisers Registration Act of 2010”. Having conducted a historical overview of the concept of public and private domains in...

This article compares the direct regulation of hedge funds in the U.S. prior to the Dodd-Frank Act with the direct regulatory measures to address potential systemic risks of hedge funds ensued in its aftermaths. The direct regulation involves regulatory measures focusing immediately on the...

This paper presents and explains the newly rediscovered and transcribed daily market gold price from 1919-1968 for the world's main gold market during the period, the London Gold Fixing Auction. The paper highlights several novel features previously not discussed in the literature, such as gold...

This paper analyzes how government intervention in the market for banks' troubled assets is best designed, and also uses this analysis to evaluate the public-private investment program announced by the U.S. government in March 2009. I begin by presenting the case for using government funds to...

I model a financial market that dries out in the wake of premature liquidations. Two main results are obtained. First, liquidity may vanish even if small, riskneutral buyers could easily compensate the ongoing selling. Thus, more markets are vulnerable to quot;runsquot; than suggested by...

Basically, shadow banking is an original kind of business organization, or better a set of institutions and markets, finalized to disinvest fixed assets and convey them to the financial markets. Nowadays, tackling the subject means penetrating the hard core of financialization. Shadow banking...