In response to the Global Financial Crisis of 2007–2009, by now, most of the financial transactions must be cleared through central counterparties operating a dynamic margin setting mechanism. High margin calls can reduce counterparty risk in a turbulent market but, at the same time, increase...

We model the consequences of the soft budget constraint in the context of retail borrowers. While János Kornai formulated the term of “soft budget constraint” mainly for organizations (firms, banks, municipalities, NGOs, etc.), we show that it can be applied to individual borrowers as well....

To efficiently assess the performance of investing in stocks rather than in a bank account for the long run, stochastic interest rate modelling is advocated. We introduce a correlated stochastic interest rate model that addresses this problem. We derive analytic formulas for general spectral...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker's self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker’s self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

We introduce a dynamic principal-agent model to understand the nature of contracts between an employer and an independent gig worker. We model the worker’s self-respect with an endogenous participation constraint; he accepts a job offer if and only if its utility is at least as large as his...

Egy folytonos idejű, heterogén ágenseken alapuló tőkepiaci modellt javaslunk, amely támaszkodik He–Li [2015] hasonló modelljére. A piacon fundamentális, trendkövető, valamint indexkövető kereskedők vannak jelen, ők mozgatják az egyetlen kockázatos eszköz árfolyamát....