Discount‐rate variation is the central organizing question of current asset‐pricing research. I
survey facts, theories, and applications. Previously, we thought returns were unpredictable …

Mathematical finance and financial engineering have been rapidly expanding fields of
science over the past three decades. The main reason behind this phenomenon has been …

We review the theories on how liquidity affects the required returns of capital assets and the
empirical studies that test these theories. The theory predicts that both the level of liquidity …

We examine whether there is a flight-to-liquidity premium in Treasury bond prices by
comparing them with prices of bonds issued by Refcorp, a US Government agency, which …

We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility
and transaction costs. Our key assumption is that investors are fund managers, subject to …

We consider nine different proxies (issued amount, listed, euro, on-the-run, age, missing
prices, yield volatility, number of contributors and yield dispersion) to measure corporate …

We propose a model in which assets with identical cash flows can trade at different prices.
Infinitely lived agents can establish long positions in a search spot market, or short positions …

We show that the price of a Treasury bond and an inflation‐swapped Treasury Inflation‐
Protected Securities (TIPS) issue exactly replicating the cash flows of the Treasury bond can …

We derive the optimal investment policy of a risk-averse investor in a market where there is a
textbook arbitrage opportunity, but where liabilities must be secured by collateral. We find …

Traditional models of portfolio choice assume that investors can continuously trade unlimited
amounts of securities. In reality, investors face liquidity constraints. I analyze a model where …