In the first three decades of CRSP data, value stocks have higher betas than growth stocks.Later on, the ranking is reversed and the gap in beta widens. What makes growth strategiesnowadays bear more market risk than value strategies? What are the causes of the reversalin the ranking of betas?...

This paper introduces a time-inhomogeneous parameterization of the forward LIBOR volatilities and analyzes its implications for the valuation of Bermudan swaptions. The model approximates the actual term structure of volatilities with a curve from a given set defined by the parametric...

In this note the pricing of options on credit default swaps using the survival-measure -pricing technique is discussed. In particular, we derive amodification of the famous Black (1976) futures pricing formula which appliesto options on CDS, and show how other pricing formulae can be easily...

This paper develops a dynamic trade-off model of optimal capital structure that takes intoaccount the fact that most firms have both invested assets and growth opportunities. Thesetwo sources of value react quite differently to business cycle risk. In particular, growth optionsare more sensitive...