Concept
Arbitrage (finance)
Publications associées (6)
The CDS-bond basis
We investigate the cross-sectional variation in the credit default swap (CDS)-bond bases and test explanations for the violation of the arbitrage relation between cash bond and CDS contract, which states that the basis should be zero in normal conditions. ...
WILEY2019Essays on the Market Structure and Pricing of Credit Derivatives
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 ...
EPFL2016Three Essays on Asset Pricing
In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...
EPFL2014Disaggregating Real Exchange Rate Dynamics: A Structural Approach
This paper employs a small open economy DSGE model, estimated over 1986-2009, to decompose the dynamic influence of domestic and international prices on the Canada-US real exchange rate. While the real exchange rate mimics the dynamic behavior of the relat ...
Ghent University Faculty of Economics and Business Administration Working Paper 2010/6552011Mutual fund portfolio choice in the presence of dynamic flows
We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...
2010Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums
A daily return reversal measure of liquidity is developed and estimated using a new comprehensive ultra-high frequency data set of foreign exchange rates during the financial crisis period of 2007--2008. The measure captures market participants' perception ...
2009