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Pricing American-Style Securities Using Simulation.

Broadie, M.; Glasserman, P. - Graduate School of Business, Columbia University - 1996

We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.

Persistent link: https://www.econbiz.de/10005630991

Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin.

Browne, S. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005776708

Continuous-Time Methods in Finance: A Review and an Assessment.

Sundaresan, S.M. - Graduate School of Business, Columbia University - 2000

to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory …, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been extended …

Persistent link: https://www.econbiz.de/10005207595

Mutual Funds and Financial Stability.

Edwards, F.R. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005776738

Do Managed Futures Make Good Investments?

Edwards, F.R.; Park, J.M. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005776747

Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World.

Heal, G. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005631025

Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar.

Huberman, G.; Regev, T. - Graduate School of Business, Columbia University - 1999

A front page Sunday New York Times article on a potential development of new drugs to cure cancer caused the price of EntreMed (ENMD) stock to rise from 12.063 at the Friday close, to open at 85 and close near 52 on Monday. Trading volume was more than 400 times the normal trading volume, and...

Persistent link: https://www.econbiz.de/10005478459

A Unified Perspective on Resource Allocation : Limited Arbitrage is Necessary and Sufficient for the Existence of a Competitive Equilibrium, the Core and Social Choice.

Chichilnisky, G - Graduate School of Business, Columbia University - 1996

condition, limited arbitrage, which is defined on the endowments and the preferences of the traders of an Arrow Debreu economy …. Limited arbitrage is necessary and sufficient for the existence of a competitive equilibrium in economies with or without …

Persistent link: https://www.econbiz.de/10005663874

The Forward Premium Anomaly: Three Examples in Serach of Solution.

Backus, D.K.; Foresi, S.; Telmer, C.I. - Graduate School of Business, Columbia University - 1994

Persistent link: https://www.econbiz.de/10005207582

EXPERIMENTAL DESIGN IN TESTS OF LINEAR FACTOR MODELS

WARGA, A. - Graduate School of Business, Columbia University - 1988

Persistent link: https://www.econbiz.de/10005207591