Stablecoins are cryptoassets which are designed to be pegged to the dollar, but are backed by imperfectly liquid USD assets. We show that stablecoins feature concentrated arbitrage: the largest issuer, Tether, only allows 6 agents in an average month to redeem stablecoins for cash. We argue that...

An Overview over the Content of This Book -- GB Models and Yield Curves in Traditional Finance, Mathematical Finance and K System -- Pricing Government Bonds and Yield Curves via K Models -- Empirical Effectiveness of the KGB Model as JGB and USGB Pricing Models -- Empirical Effectiveness of...

In this paper, we consider an optimal stopping problem that addresses model uncertainty. Model uncertainty is the uncertainty affecting the model assumptions, e.g., the assumed form of the probability distribution, the parameters embedded in the probability distribution. The result presented in...

The investment anomaly refers to the pervasive negative predictability in future stock returns following large firm investments. I re-investigate two competing hypotheses for the potential source of the anomaly: i) prolonged mispricing due to limits to arbitrage and ii) financing constraints in...

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...

This working paper was written by Patrick Augustin (McGill University and Canadian Derivatives Institute), Mikhail Chernov (University of California Los Angeles, NBER and CEPR), Lukas Schmid (University of Southern California and CEPR) and Dongho Song (Johns Hopkins University).We show...