Accounting at various times has been referred to as a communication process, a language, and a conveyor of information. Given this condition, an analysis of accounting in terms of the theories relating to those references would enable an understanding of: (1) how well the parts of accounting...

The unprecedented access offered by the World Wide Web brings with it the potential to gather huge amounts of data on human activities. Here we exploit this by using a toy model of financial markets, the Minority Game (MG), to investigate human speculative trading behaviour and information...

To contribute to understanding of information economies of daily life, this paper explores over the past millennium given names of a large number of persons. Analysts have long both condemned and praised mass media as a source of common culture, national unity, or shared symbolic experiences....

This paper discusses techniques for estimating structural vector autoregressions. Especially when monetary policy shocks are estimated, VAR residuals turn out to be leptokurtic. It is argued that this is no coincidence but follows directly from the properties of monetary policy decisions. The...

Interest-rate derivative models governed by parabolic partial differential equations (PDEs) are studied with discrete-time recombining binomial trees. For the Buehler-Kaesler discount-bond model, the expiration value of the bond is a limit point of tree sites. Representative calculations give a...

This paper provides an introduction to Monte Carlo algorithms for pricing American options written on multiple assets, with special emphasis on methods that can be applied in a multi-dimensional setting. Simulated paths can be used to estimate by nonparametric regression the continuation value...

A valuation model is presented for options on stocks for which Black- Scholes arbitrage does not entirely eliminate risk. The price dynamics of a portfolio of options and the underlying security is quantified by requiring that the excess reward-to-risk ratio of the portfolio be identical to that...

We document a surprising pattern in market prices of S&P 500 index options. When implied volatilities are graphed against a standard measure of moneyness, the implied volatility smirk does not flatten out as maturity increases up to the observable horizon of two years. This behavior contrasts...

We explicitly solve the pricing problem for perpetual American puts and calls, and provide an efficient semi-explicit pricing procedure for options with finite time horizon. Contrary to the standard approach, which uses the price process as a primitive, we model the price process as the expected...