Papers
Debt and the Optimal Incentives Over Time
Uploaded: Aug 1, 2025
Using a backward stochastic differential equation (BSDE) framework, we examine the principal-agent problem in a finite-horizon continuous-time setting where the agent’s effort is a continuous choice, and the principal can impose non-pecuniary punishments. We show that the agent’s optimal incentive...
Imperfect Competition and Moral Hazard in Financial Markets
Uploaded: Aug 1, 2025
I develop a model to compare the effects of moral hazard and imperfect competition in intermediary asset pricing, motivated by empirical evidence from rich trade-level data in Canadian stock markets. Intermediaries invest in multiple risky assets on
behalf of their...
Privacy-Enhanced Payment Systems
Uploaded: Jul 30, 2025
Technological innovations enable digital privacy, but pose fundamental conflicts between freedom and control. We study the design of privacy-enhanced payment systems, valued for legitimate transactions but vulnerable to illicit financial activities. We distinguish two dimensions of privacy: identity privacy, the...
Tech-Driven Intermediation in the Originate-to-Distribute Model
Uploaded: Jul 30, 2025
This paper develops a general equilibrium model to examine the role of information technology when intermediaries facilitate the origination and distribution of assets given information asymmetry. Information technology measures the informativeness of asset-quality signals received by intermediaries, who purchase assets...
An Arbitrage Foundation for Demand Effects in Asset Pricing
Uploaded: Jul 30, 2025
Demand for any of N assets can influence every other price, generating N^2 cross-impact slopes. Which interactions are determined by economic first principles and which reflect investor behavior? Using no arbitrage alone—without needing to specify a particular equilibrium—a new "Irrelevance...
Benign Granularity in Asset Markets
Uploaded: Jul 29, 2025
We develop a tractable model to study how asset concentration among a few large
investors impacts asset prices and liquidity. Consistent with existing empirical evidence:
(i) greater concentration is associated with higher volatility and returns, and (ii) large
investors’ turnover...
