probability distribution function. Applications to the valuation of derivatives, including Asian options prices in closed form … others areas of finance, among which stochastic volatility and credit derivatives. …

The financial crisis has generated a deep revision of the regulation of securities and derivatives markets. In this … derivatives markets, while correspondingly reducing the scope of "private" markets (which broadly coincide with the "unregulated … of securities and derivatives trading in Europe. For these purposes, we formulate conjectures that are partly based on …

This paper contains a general equilibrium model of an economy with incomplete markets (GEI) with money and default. The … for positive default levels in equilibrium. It also characterises contagion and financial fragility as an equilibrium …

This paper analyses whether sovereign default episodes can be seen as contingencies of optimal international lending …

find that policy-induced exogenous increases in US rates raise default risk in emerging market economies, as hypothesised … real interest rates and reduce the risk of default dominate the hypothesised relationship. We can only conclude that it …

and the determination of the optimal asset allocation using discount rates that ap-propriately reflect default risk. We …

, trading off the tax advantages of debt against the risk of costly default. The costs of bankruptcy are endogenously determined … corporate income tax rate is positive, firms have a unique optimal capital structure. In equilibrium firms default with positive … constrained inefficient. In particular there is too little debt and too little default. …

advantages of debt against the risk of costly default. The costs of default are endogenous: bankrupt firms are forced to … efficient. When the tax rate is positive, the optimal capital structure is uniquely determined, default occurs with positive …