Finance Lab

Research

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Research List

2025

Aggregate illiquidity and crypto option returns

Christina Atanasova, Terrel Miao, Ignacio Segarra, Frederick Willeboordse

Finance Research Letters  ·  01 Nov 2025

Cryptocurrency options Market maker aggregate gamma inventory Delta-hedging Option market illiquidity Latent factor models
Drought, water, and the valuation of hydropower assets

Isabel Figuerola-Ferretti, Eduardo Schwartz, Ignacio Segarra

Journal of Banking & Finance  ·  01 Oct 2025

Hydropower asset Drought Water Optimal control Climate change
The impact of corporate diversification on liquidity management: Evidence from lines of credit

Christina Atanasova, Frederick H. Willeboordse

Journal of International Financial Markets, Institutions and Money  ·  01 Jun 2025

Cash holdings Bank lines of credit Corporate diversification Coinsurance Liquidity risk

2024

Electricity markets regulations: The financial impact of the global energy crisis

Ignacio Segarra, Christina Atanasova, Isabel Figuerola-Ferretti

Journal of International Financial Markets, Institutions and Money  ·  01 Jun 2024

Electricity markets regulations Zonal vs nodal pricing Margins Synthetic controls Financial performance
Optimal operation of a hydropower plant in a stochastic environment

Isabel Figuerola-Ferretti, Eduardo Schwartz, Ignacio Segarra

Quantitative Finance  ·  22 Apr 2024

Water management Climate change Hydropower Sustainable reservoir