In debt financing, existence of information asymmetry on the firm quality between the firm management and bond investors may lead to significant adverse selection costs. We develop the two-stage sequential dynamic two-person game option models to analyze the market signaling role of the callable...

Contingent capital in the form of debt that converts to equity as a bank approaches financial distress offers a potential solution to the problem of banks that are too big to fail. This paper studies the design of contingent convertible bonds and their incentive effects in a structural model...

The stochastic-alpha-beta-rho (SABR) model introduced by Hagan et al. (2002) provides a popular vehicle to model the implied volatilities in the interest rate and foreign exchange markets. To exclude arbitrage opportunities, we need to specify an absorbing boundary at zero for this model, which...

The stochastic-alpha-beta-rho (SABR) model is widely used in fixed income and foreign exchange markets as a benchmark. The underlying process may hit zero with a positive probability and therefore an absorbing boundary at zero should be specified to avoid arbitrage opportunities. However, a...

This paper studies whether market structure affects algorithmic recommendations in dominant platforms. We focus on the dual role of Amazon.com---as a platform owner and retailer. We find that products sold by Amazon receive substantially more ``Frequently Bought Together” recommendations...

We propose a novel framework to analyze the potentially heterogeneous roles played by different market participants in the fire-sale process during market crash and illustrate the methodology with the 2015–16 Chinese stock market turbulence. Unlike conventional analysis focusing on one...

Given limited network information, we consider robust risk quantification under the Eisenberg-Noe model for financial networks. To be more specific, motivated by the fact that the structure of the interbank network is not completely known in practice, we propose a robust optimization approach to...

Autonomous vehicles (AVs) are expected to operate on Mobility-on-Demand (MoD) platforms because AV technology enables flexible self-relocation and system-optimal coordination. Unlike the existing studies, which focus on MoD with pure AV fleet or conventional vehicles (CVs) fleet, we aim to...

The development of carsharing services is expected to achieve greater resource efficiency and provide a sustainable solution for future mobility systems. However, operators inevitably face the imbalance between demand and supply in one-way carsharing systems (CSSs). Also, it is challenging for...