Pricing collateralized derivatives with an arbitrary numeraire
Abstract Since the 2008 crisis collateralized derivatives have become commonplace in the market. There have been many papers in recent years on pricing collateralized derivatives but the topic has...
View ArticleOptimal equilibria for time�inconsistent stopping problems in...
Abstract For an infiniteâhorizon continuousâtime optimal stopping problem under nonexponential discounting, we look for an optimal equilibrium, which generates larger values than any other...
View ArticlePathwise moderate deviations for option pricing
Abstract We provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling enables us to...
View ArticleAFA 2020 SAN DIEGO MEETINGS EIGHTIETH ANNUAL MEETING AMERICAN FINANCE...
The Journal of Finance, Volume 74, Issue 6, Page 3262-3317, December 2019.
View ArticleParticipant Schedule for the AFA 2020 San Diego Meetings January 3–5, 2020
The Journal of Finance, Volume 74, Issue 6, Page 3318-3389, December 2019.
View ArticleRelationship Trading in OTC Markets
ABSTRACT We examine the network of trading relationships between insurers and dealers in the overâtheâcounter corporate bond market. Regulatory data show that oneâthird of insurers use a single...
View ArticleBeyond Random Assignment: Credible Inference and Extrapolation in Dynamic...
ABSTRACT We derive analytical relationships between shock responses and theoryâimplied causal effects (comparative statics) in dynamic settings with linear profits and linearâquadratic stock...
View ArticleGlued to the TV Distracted Noise Traders and Stock Market Liquidity
ABSTRACT In this paper we study the impact of noise tradersâ limited attention on financial markets. Specifically we exploit episodes of sensational news (exogenous to the market) that distract...
View ArticleSecuritization, Ratings, and Credit Supply
ABSTRACT We develop a framework to explore the effect of credit ratings on loan origination. We show that ratings endogenously shift the economy from a Signaling equilibrium, in which banks...
View ArticleWhat is a Patent Worth? Evidence from the U.S. Patent “Lottery”
ABSTRACT We provide evidence on the value of patents to startups by leveraging the quasiârandom assignment of applications to examiners with different propensities to grant patents. Using unique...
View ArticleRisk Management in Financial Institutions
ABSTRACT We study risk management in financial institutions using data on hedging of interest rate and foreign exchange risk. We find strong evidence that institutions with higher net worth hedge...
View ArticleHow Does Credit Supply Expansion Affect the Real Economy? The Productive...
ABSTRACT Credit supply expansion can affect an economy by increasing productive capacity or by boosting household demand. In this study, we develop a test to determine if the household demand channel...
View ArticleConsumption Fluctuations and Expected Returns
ABSTRACT This paper introduces a novel consumptionâbased variable, cyclical consumption, and examines its predictive properties for stock returns. Future expected stock returns are high (low) when...
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Unbound: How Inequality Constricts Our Economy and What We Can Do About It...
Unbound: How Inequality Constricts Our Economy and What We Can Do About It. Heather Boushey. Harvard University Press. 2019. Find this book:Â The 2020 US Presidential election is less than a year...
View ArticleAfrica: Alpha for the Bold
The CFA Institute, in conjunction with the African Stock Exchanges Association (ASEA), has put together a book on the challenges and opportunities in the African capital markets. In Africa as...
View ArticleThe role of low temperature waste heat recovery in achieving 2050 goals: a...
Urban waste heat recovery, in which low temperature heat from urban sources is recovered for use in a district heat network, has a great deal of potential in helping to achieve 2050 climate goals. For...
View ArticleSolution of option pricing equations using orthogonal polynomial expansion....
In this paper we study both analytic and numerical solutions of option pricing equations using systems of orthogonal polynomials. Using a Galerkin-based method, we solve the parabolic partial...
View ArticlePortfolio liquidation under transient price impact -- theoretical solution...
We derive an explicit solution for deterministic market impact parameters in the Graewe and Horst (2017) portfolio liquidation model. The model allows to combine various forms of market impact, namely...
View ArticleA mechanical and economical based framework to help decision-makers for...
Many studies in economics deal with the non-reliability cost to assess insurance fees or investment analyses, but none takes into consideration the mechanical aspect of reliability analysis. Other...
View ArticlePrior Knowledge Neural Network for Automatic Feature Construction in...
In quantitative finance, useful features are constructed by human experts. However, this method is of low efficient. Thus, automatic feature construction algorithms have received more and more...
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