Now showing items 1-10 of 59
On the market viability under proportional transaction costs
(SpringerWiley Periodicals, Inc., 2018-07)
This paper studies the market viability with proportional transaction costs. Instead of requiring the existence of strictly consistent price systems as in the literature, we show that strictly consistent local martingale ...
Essays on the Liquidity of Financial Markets.
(2016)
This dissertation examines the effects of political uncertainty surrounding the outcome of U.S. presidential elections on financial market quality - i.e., the ability of a market to price assets correctly - as well as the ...
Essays on Financial Contracting and Asymmetric Information.
(2014)
This dissertation comprises three essays on financial contracting and intermediation under information asymmetry. They examine both some of the asymmetric information problems that contracts can mitigate as well as some ...
Liquidation In Limit Order Books With Controlled Intensity
(Systems & Control: Foundations & Applications. Boston, MA: BirkhäuserWiley Periodicals, Inc., 2014-10)
Frictions in Financial Intermediation
(2016)
This dissertation comprises essays examining frictions among financial intermediaries: venture capital firms, investment banks, and commercial banks. The first essay explores the effect of gender on VC-financed entrepreneurship. ...
Risk and Return in Equity and Options Markets.
(2015)
While theory can tell us about the relationship between prices of risk in options and equity markets within the context of a specific model, what we observe in the data rarely fits any single option pricing model with ...
Do Behavioral Biases Affect Prices?
(Blackwell Publishing, Inc.Wiley Periodicals, Inc., 2005-02)
This paper documents strong evidence for behavioral biases among Chicago Board of Trade proprietary traders and investigates the effect these biases have on prices. Our traders appear highly loss‐averse, regularly assuming ...
Distribution‐constrained optimal stopping
(Cambridge University PressWiley Periodicals, Inc., 2019-01)
We solve the problem of optimal stopping of a Brownian motion subject to the constraint that the stopping time’s distribution is a given measure consisting of finitely many atoms. In particular, we show that this problem ...