Now showing items 1-10 of 24
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 ...
Liquidation In Limit Order Books With Controlled Intensity
(Systems & Control: Foundations & Applications. Boston, MA: BirkhäuserWiley Periodicals, Inc., 2014-10)
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 ...
A Unified Framework For Pricing Credit And Equity Derivatives
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)
Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion
(Wiley Periodicals, Inc.Blackwell Publishing, Inc., 2005-02)
This study proposes a rational expectations equilibrium model of crises and contagion in an economy with information asymmetry and borrowing constraints. Consistent with empirical observations, the model finds: (1) Crises ...
Analyst Optimism and Incentives under Market Uncertainty
(Wiley Periodicals, Inc., 2017-08)
We examine how analysts’ changing incentives driven by changes in market uncertainty affect their forecast optimism. Analysts issue more optimistically biased earnings forecasts and buy recommendations under high market ...
Mcmc Estimation Of Lévy Jump Models Using Stock And Option Prices
(Blackwell Publishing IncWiley Periodicals, Inc., 2011-07)