Now showing items 11-20 of 24
Do Corporate Managers Know When Their Shares Are Undervalued? New Evidence Based on Actual (and Not Just Announced) Stock Buybacks
(Elsevier/North‐HollandWiley Periodicals, Inc., 2016-12)
Local Variance Gamma And Explicit Calibration To Option Prices
(Wiley Periodicals, Inc.Cambridge University Press, 2017-01)
Columbia Law School Roundtable on A Governance Research Agenda for the Academy
(Wiley Periodicals, Inc., 2017-03)
On Arbitrage And Duality Under Model Uncertainty And Portfolio Constraints
(SpringerWiley Periodicals, Inc., 2017-10)
We consider the fundamental theorem of asset pricing (FTAP) and the hedging prices of options under nondominated model uncertainty and portfolio constraints in discrete time. We first show that no arbitrage holds if and ...
The Return of the Monday Effect in European Currency Markets: An Empirical Analysis of the Impact of the Economic Crisis on Market Efficiency
(Wiley Periodicals, Inc., 2016-07)
This paper examines the relationship of multiple currencies, coupled with the Euro, to examine if there is evidence of the return of the Monday effect as a result of the recent global economic crisis. Each currency pair, ...
Optimal Investment For All Time Horizons And Martin Boundary Of Space‐Time Diffusions
(Wiley Periodicals, Inc.The Open Court Publishing Company, 2017-04)
A Dynamic Model of the Firm: Structural Explanations of Key Empirical Findings
(Pearson Addison WesleyWiley Periodicals, Inc., 2015-08)
We derive a dynamic model of the firm in the spirit of the trade‐off theory of capital structure that explains firm behavior in terms of firm characteristics. We show our model is consistent with many important findings ...
High‐Frequency Trading and the New Stock Market: Sense And Nonsense
(Wiley Periodicals, Inc., 2017-12)
Liquidity effects of trading frequency
(Wiley Periodicals, Inc.Springer‐Verlag, 2018-07)
In this paper, we present a discrete‐time modeling framework, in which the shape and dynamics of a Limit Order Book (LOB) arise endogenously from an equilibrium between multiple market participants (agents). We use the ...
Strict local martingales and optimal investment in a Black–Scholes model with a bubble
(BirkhäuserWiley Periodicals, Inc., 2019-01)
There are two major streams of literature on the modeling of financial bubbles: the strict local martingale framework and the Johansen–Ledoit–Sornette (JLS) financial bubble model. Based on a class of models that embeds ...