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In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...
Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...
Rational economics and finance surmise that choices decree from a conscious arbitration between alternatives based on decision-theoretically computed values. Implicit in the computation of these option values are the perception and integration of different ...
We study changes in chief executive officer (CEO) contracts when firms transition from public ownership with dispersed owners to private ownership with strong principals in the form of private equity sponsors. The most significant changes are that a signif ...
We define quittable consensus, a natural variation of the consensus problem, where processes have the option to agree on "quit" if failures occur, and we relate this problem to the well-known problem of nonblocking atomic commit. We then determine the weak ...
Society for Industrial and Applied Mathematics2012
We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term ...
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...
One of the options considered for the ECFA-CERNNuPECC design study for a Large Hadron electron Collider (LHeC) based on the LHC is adding a recirculating energy-recovery linac tangential to the LHC. First designs of the electron Final Focus System have sho ...
How does an economy behave if (1) fundamentals are truly hump-shaped, exhibiting momentum in the short run and partial mean reversion in the long run, and (2) agents do not know that fundamentals are hump-shaped and base their beliefs on parsimonious model ...
Regulators charged with monitoring systemic risk need to focus on sentiment as well as narrowly defined measures of systemic risk. This chapter describes techniques for jointly monitoring the co-evolution of sentiment and systemic risk. To measure systemic ...
