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We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...
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 ...
Residential thermostatically controlled loads (TCLs) have potential for participation in electricity markets. This is because we can control a large group of these loads to achieve aggregate system behavior such as providing frequency reserves while ensuri ...
While established firms' relationships with external ventures may have significant strategic benefits, the realization of such benefits is fraught with considerable uncertainty. The real options and interorganizational learning literatures present an inter ...
Light-emitting devices that utilize thin films of metal nanoclusters as quantum emitters are presented. Implementing Ag as well as Au nanoclusters, the versatility of the approach is demonstrated, and it is shown that the electroluminescence measured from ...
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 study examines the relationship between a firm's venturing activities and its undertaking of strategic renewal. The study was motivated by some important gaps in the corporate entrepreneurship literature on venturing and renewal. The extant literature ...
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 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
The Quantime project aims at developing a miniature atomic clock suited for the telecom market, requiring a wide operating temperature range (from -40 to +85°C), and a low production cost. The CPT (Coherent Population Trapping) technique for atomic interro ...