Are green bonds priced lower than their conventional peers?
Related publications (33)
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This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...
This thesis develops three models that study the motivation of various agents to take on debt,
and the impact that excessive financial leverage can have on social welfare.
In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...
This paper addresses the problem of efficiently achieving visual predictive control tasks. To this end, a memory of motion, containing a set of trajectories built off-line, is used for leveraging precomputation and dealing with difficult visual tasks. Stan ...
We present a framework for performing regression when both covariate and response are probability distributions on a compact interval. Our regression model is based on the theory of optimal transportation, and links the conditional Frechet mean of the resp ...
We extend Duffie et al.'s (2005) search-theoretic model of over-the-counter (OTC) asset markets, allowing for a decentralized inter-dealer market with arbitrary heterogeneity in dealers' valuations (or, equivalently, inventory costs). We develop a solution ...
We consider the problem of learning a target function corresponding to a deep, extensive-width, non-linear neural network with random Gaussian weights. We consider the asymptotic limit where the number of samples, the input dimension and the network width ...
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 ...
Multiple generalized additive models are a class of statistical regression models wherein parameters of probability distributions incorporate information through additive smooth functions of predictors. The functions are represented by basis function expan ...
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
