My thesis consists of three papers on exchange-traded funds (ETFs), market quality and arbitrage. In these papers, I study (1) the effect of competition between ETFs on market quality, (2) the trading behavior of exchange-traded gold instruments around the London afternoon gold price fixing, and...

Finally, I further explore the topic of ETF competition in the context of arbitrage. Three perfectly substitutable ETFs compete on the gold market. They all adjust to the daily gold fixing price, therefore never diverging significantly from each other. This constitutes an ideal setting for a...

Sovereigns are active issuers both of foreign and domestic debt. The former, composed mainly of internationally traded hard currency denominated Eurobonds, serves as a direct benchmark for the creditworthiness of the country. The latter, represented by local treasuries, although considered a...

The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book...