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Financial innovation, market participation and asset prices

Calvet, Laurent E. (contributor); … - 2001 - [Elektronische Ressource], This draft: August 2011

This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation....

Persistent link: https://www.econbiz.de/10001611814

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent …

Persistent link: https://www.econbiz.de/10001664233

The valuation of corporate liabilities : theory and tests

Ericsson, Jan (contributor); Reneby, Joel (contributor) - 2001 - [Elektronische Ressource], First version: February 2001, Rev. January 7, 2003

We develop a structural bond pricing approach and implement it on a large panel of US industrial bonds using an efficient maximum likelihood methodology. We evaluate the model's ability to predict yield spread levels and changes out-of-sample. Errors are smaller and distinctly less variable than...

Persistent link: https://www.econbiz.de/10001600071

On the use of numeraires in option pricing

Benninga, Simon (contributor); Björk, Tomas (contributor); … - 2001 - [Elektronische Ressource]

In this paper we discuss the significant computational simplification that occurs when option pricing is approached through the change of numeraire technique. The original impetus was a recently published paper (Hoang, Powell, Shi 1999) on endowment options; in the present paper we extend these...

Persistent link: https://www.econbiz.de/10001638113

Ownership, control, taxation, and collusion

Spagnolo, Giancarlo - 1996

Persistent link: https://www.econbiz.de/10000953959

Stochastic adaption in finite games played by heterogeneous populations

Josephson, Jens (contributor) - 2001 - [Elektronische Ressource]

size. -- Bounded rationality ; Evolutionary game theory ; Imitation ; Better replies ; Markov chain ; Stochastic stability …

Persistent link: https://www.econbiz.de/10001622442

Information and politics

Frisell, Lars - 2001

Persistent link: https://www.econbiz.de/10001604448

Delegation of bargaining and power

Segendorff, Björn - 1998

Persistent link: https://www.econbiz.de/10000991633

Ownership, control, and collusion

Spagnolo, Giancarlo - 1998 - Rev

Persistent link: https://www.econbiz.de/10000993547

General quadratic term structures of bond, futures and forward prices

Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]

For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other,...

Persistent link: https://www.econbiz.de/10001991041

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