This paper examines both the time-series and cross-sectional variation in the difference between US dollar and Euro denominated sovereign CDS spreads for a group of Eurozone countries. We find that the spread difference between dual-currency sovereign CDS significantly affects the bilateral...

We develop a multi-factor stochastic volatility Libor model with displacement, where each individual forward Libor is driven by its own square-root stochastic volatility process. The main advantage of this approach is that, maturity-wise, each square-root process can be calibrated to the...

In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...

We extend the work of Delong and Imkeller (2010) [6] and [7] concerning backward stochastic differential equations with time delayed generators (delay BSDEs). We give moment and a priori estimates in general Lp-spaces and provide sufficient conditions for the solution of a delay BSDE to exist...

The primary purpose of this paper is to explore the herding behavior in the Chinese stock market during COVID-19 and the asymmetry of that behavior using the daily returns of A- and B-shares from 2 January 2019, to 15 October 2021. The study uses the cross-sectional absolute deviation model to...