We analyze the distressed firm's decision between Chapter 11 and an exchange offer. We construct a comprehensive data set on the financial characteristics and capital structure at 269 distressed firms, which, unlike previous studies, uses quarterly information and includes exhaustive data on...

We propose a novel representation of commodity spot prices in which the cost-of-carry and the spot price volatility are both driven by an arbitrary number of risk factors, nesting many existing specifications. The model exhibits unspanned stochastic volatility, provides simple closed-form...

This paper investigates the determinants of credit risk in insurance companies in the U.S. and Europe. Consistent with recent results for non-financial firms in the U.S., we find that equity volatility is a major determinant and predictor of CDS spreads for both U.S. and European insurers, even...

We propose a novel, fast, accurate parallel algorithm for pricing American options. We perform a thorough numerical analysis of existing methodologies and find that ours performs significantly better. The proposed method is stable, robust, and converges monotonically. We also show that the...

In this paper we study deviations from the standard textbook no-arbitrage relationship of 14 index futures from Asia, Europe, and North America between 2001 and 2012. We find strong empirical evidence that such deviations are pervasive across different countries that differ in terms of...

We examine weekly trading imbalances for speculators and small investors in the commodity futures market and their price and volatility effects over the period 1986-2012. First, speculators behave like short term momentum traders and long-term contrarians. Their imbalances are positively...

There are many proxies for the short-term interest rate that are used in asset pricing. Yet, they behave differently, especially in periods of economic stress. Derivatives markets offer a unique laboratory to extract a short-term borrowing and lending rate available to all investors that is...

This article studies the ability of an N‐factor Gaussian model to explain the stochastic behavior of oil futures prices when estimated with the use of all available price information, as opposed to traditional approaches of aggregating data for a set of maturities. A Kalman filter estimation...