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This paper reviews the mortgage-backed securities (MBS) market, with a particular emphasis on agency residential MBS in the United States. We discuss the institutional environment, security design, MBS risks and asset pricing, and the economic effects of m ...
The landscape of computing is changing, thanks to the advent of modern networking equipment that allows machines to exchange information in as little as one microsecond. Such advancement has enabled microsecond-scale distributed computing, where entire dis ...
Modern data center fabrics open the possibility of microsecond distributed applications, such as data stores and message queues. A challenging aspect of their development is to ensure that, besides being fast in the common case, these applications react fa ...
The study consists of two interrelated parts. In the first part, we aim to identify the best predictive model of day-ahead electricity prices. In particular, we verify the existence of a dependence of the spot price on power generation and variable costs o ...
In the chapter ``When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?'' An equilibrium in a market is determined in which traders have the choice between using an electronic platform with a request-for-quote protocol or calling a dea ...
This thesis addresses theoretical and practical aspects of identification and subsequent control of self-exciting point processes. The main contributions correspond to four separate scientific papers.In the first paper, we address the challenge of robust i ...
Despite regulatory efforts to promote all-to-all trading, the post-Dodd-Frank index credit default swap market remains two-tiered. Transaction costs are higher for dealer-to-client than interdealer trades, but the difference is explained by the higher, lar ...
Synchronous mini-batch SGD is state-of-the-art for large-scale distributed machine learning. However, in practice, its convergence is bottlenecked by slow communication rounds between worker nodes. A natural solution to reduce communication is to use the " ...
This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns.In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...
