Browse by Subject "Liquidity"

  • Kitwiwattanachai, Chanatip (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 ...

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  • Jacobs, Thomas A. (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 ...

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  • Muravyev, Dmitriy (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 ...

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