The double entry structural constraint on the econometric estimation of...
Volume 25, Issue 18, December 2019, Page 1919-1935.
View ArticleExecutive compensation in less regulated markets: the impact of debt monitoring
Volume 25, Issue 18, December 2019, Page 1883-1918.
View ArticleOptimal mortgage contracts with time-inconsistent preferences
Volume 25, Issue 18, December 2019, Page 1834-1855.
View ArticleGlobal Hedge Fund Assets Shrink
According to the latest report from Eurekahedge, the worldâs hedge funds recorded a net growth of $3.4 billion due to performance in September 2019. On the other hand, September also saw large net...
View ArticleOn Comparing Asset Pricing Models
ABSTRACT Revisiting the framework of Barillas and Shanken (2018), BS henceforth, we show that the Bayesian marginal likelihoodâbased model comparison method in that paper is unsound: the priors on...
View ArticleOption Pricing in a Regime Switching Jump Diffusion Model....
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to...
View ArticleHealthy... Distress... Default. (arXiv:1910.08531v1 [q-fin.PR])
We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we...
View ArticlePricing and Hedging Performance on Pegged FX Markets Based on a Regime...
This paper investigates the hedging performance of pegged foreign exchange market in a regime switching (RS) model introduced in a recent paper by Drapeau, Wang and Wang (2019). We compare two prices,...
View ArticleOptimal implementation delay of taxation with trade-off for L'{e}vy risk...
In this paper we consider two problems on optimal implementation delay of taxation with trade-off for spectrally negative L'{e}vy insurance risk processes. In the first case, we assume that an...
View ArticleTop fund manager forced to resign
Top fund manager forced to resign after BBC investigation https://t.co/e94Ybb0qhy â moneyscience (@moneyscience) October 21, 2019
View ArticleVariance optimal hedging with application to electricity markets
In this paper, the author uses the meanâvariance hedging criterion to value contracts in incomplete markets.
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