Personal preferences and financial incentives make homeownership desirable for most families. Once a family purchases a home they find it impractical (costly) to frequently change their ownership of residential real estate. Thus, by deciding how much home to buy, a family constrains their...

Although traded as distinct products, caps and swaptions are linked by no-arbitrage relations through the correlation structure of interest rates. Using a string market model framework, we solve for the correlation matrix implied by the swaptions market and examine the relative valuation of caps...

This article presents a simple yet powerful new approach for approximating the value of American options by simulation. The key to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily...

Since arbitrage involves trading, it is potentially impeded by market frictions and costs. We study whether stock market liquidity is related to the efficacy of arbitrage. Specifically, we examine the joint time-series of the NYSE Composite index futures basis and aggregate liquidity on the NYSE...

Artículo de revista ; La irrupción de la pandemia provocada por el Covid-19 ha originado una recesión económica sin precedentes a escala mundial, que ha llevado a las agencias de rating a aumentar las rebajas de calificación crediticia. Este proceso podría prolongarse durante los próximos...

Artículo de revista ; A consequence of the outbreak of the pandemic triggered by COVID-19 is the unprecedented global economic recession that has led rating agencies to increase their credit rating downgrades. This process could continue in the coming months if the unfolding of the pandemic...

Artículo de revista

Poco se sabe todavía sobre los factores que determinan el uso de garantías personales en comparación con las garantías reales en el marco de los préstamos bancarios a empresas, así como sobre su posterior impacto en la toma de decisiones de las empresas. Este trabajo analiza 477.209...