Earlier studies in the literature of politically connected firms and the “revolving door” of government officials to the private sector focused mostly on politicians and high-ranked civil servants. In this paper I comprehensively survey the transition of all ranks of government officials...

In this article we illustrate how to price bonds and calculate the accrued interest, clean- and dirty price, from which we can compute a bond invoice i.e., the present value for a given cash investment in the bond. We present the classical bond pricing formulae and show how to modify this...

We propose a highly optimized latent factor representation of the yield curve obtained by training a variational autoencoder (VAE) to curve data from multiple currencies. A curious byproduct of such training is a "world map of latent space" where neighbors have similar curve shapes, and distant...

We demonstrate a modified Crank-Nicolson finite-difference diffusion algorithm for valuing option-embedded bonds using the Hull-White model of the short rate process. In particular, this method allows the practitioner to maintain model stability with relatively large values of bond tenor even...

We evaluated the ability of futures market participants’ hedging decisions to predict changes in cryptocurrency returns based on its influence on risk aversion via the risk premium channel. We document that the hedging factor has a significant effect on measures of risk aversion and financial...

We study euro-area risk-adjusted expected inflation and the inflation risk premium at different maturities, leveraging inflation swaps, inflation options and survey-based forecasts. We introduce a model that features time-varying long-term average inflation and time-varying inflation volatility...

As more and more jurisdictions transition from LIBOR-type interest rate benchmarks to new riskfree rate (RFR) benchmarks based on overnight rates, such as SOFR in the US, it is important to adapt interest rate term structure models to reflect this. In particular, overnight rates are largely...

“Buy Now, Pay Later” (BNPL) and other forms of consumer credit create a wedge between consumption and payments. We introduce this wedge into a standard consumption-based asset pricing model (CCAPM). In equilibrium, the pricing kernel equals the marginal utility of consumption divided by the...