Browse by Subject "Liquidity"
Now showing items 1-4 of 4
(2012-09-18)This thesis consists of three essays that examine various problems in credit derivatives. In the first essay, we propose a novel method to extract asset correlations from credit derivatives. Default correlation is a concern ...
(2015-06-02)The revolutionary technological and regulatory changes in financial markets over the first few years of the new millennium have radically altered trading routines and strategies. Algorithms have taken over trade executions ...
(2010-08-20)The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic ...
(2012-06-27)This thesis consists of three essays that examine various problems in empirical derivatives. In the first essay, we use “tick-by-tick” quote data for 39 liquid U.S. stocks and options on them, and focus on events when the ...