We measure the gains from phasing out coal as the social cost of carbon times the quantity of avoided emissions. By comparing the present value of the benefits from avoided emissions against the present value of costs of ending coal plus the costs of replacing it with renewable energy, our...

The currency options markets, both the dollar denominated options markets and the cross-currency options markets, carry important economic information about the evolution of exchange rates and the pricing of risk. However, it is challenging to integrate all this information together. This paper...

We propose an efficient way to interpolate implied volatilities in between market expirations while keeping local volatilities virtually constant in time for any strike relative to forward. The method never creates an arbitrage. If the input volatilities are not arbitrage-free, the method...

Automated Market Makers (AMMs) are a relatively new mechanism that allow people to trade cryptocurrencies instantly. Unlike typical centralized trades that utilize order-books, AMMs are decentralized, so they do not require the matching of buyers and sellers for exchanges; rather, they use a...

Recent research has documented and studied a persistent widening of cross-currency basis (i.e., deviation from covered interest rate parity) for a wide range of currencies with respect to the dollar since the global financial crisis. Theory of the foreign exchange (FX) swap market predicts that...

Any lead-lag effect in an asset pair implies the future returns on the lagging asset have the potential to be predicted from past and present prices of the leader, thus creating statistical arbitrage opportunities. We utilize robust lead-lag indicators to uncover the origin of price discovery...

We analyse the exchange-rate exposure (exposure) and systematic risk (beta) of individual stocks and pair arbitrage portfolios (PAP) in a Bertrand-type international duopoly. Under currency appreciation the firm beta from the depreciating (appreciating) country, decreases (increases). As the...

In this paper, we introduce a 3D finite dimensional Gaussian process (GP) regression approach for learning arbitrage-free swaption cubes. Based on the possibly noisy observations of swaption prices, the proposed 'constrained' GP regression approach is proven to be arbitrage-free along the strike...