Using more than two years of daily interest rate cap price data, this paper provides a systematic documentation of a volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a sneer) with a stronger skew for in-the-money caps...

Coval, Jurek, and Stafford (2009, CJS hereafter) claim that senior CDX tranches, which resemble economic catastrophe bonds, are overpriced relative to index options. We show that this result is due to their problematic calibration procedure and restrictive model assumptions. A simple correction...

The Eastern Europe and Central Asia region has the world's fastestgrowing HIV epidemic. Although still concentrated, the epidemic has diversified, affecting several key populations in many countries. This change has increased the number of people in need, the ways the epidemic can spread, and...

This paper examines racial disparities in mortgage processing time prior to the global financial crisis. We find that Black borrowers are underrepresented and experience a longer processing time than White borrowers among the mortgages securitized by government-sponsored enterprises. At the same...