My research examines how funding constraints, market liquidity and limits to arbitrage shape asset prices. A central question is how reliably interest rates inferred from financial market prices can be interpreted as risk-free rates, and what differences across markets reveal about financing conditions. The first part of the project focuses on interest rates extracted from options and their differences from government bond yields. Using end-of-day option quotes and quantitative methods, I examine how these differences relate to liquidity, trading activity, option-pricing characteristics and time to maturity. The aim is to clarify the conditions under which option-implied rates provide an informative measure of risk-free discounting and when they could reflect additional market-specific influences.
