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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10011256871
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Expected Utility and Catastrophic Risk
Ikefuji, Masako; Laeven, Roger; Magnus, Jan; Muris, Chris - Tinbergen Instituut - 2014
An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure that expected (marginal) utility remains finite also...
Persistent link: https://www.econbiz.de/10011261938
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A Measure-Valued Differentiation Approach to Sensitivity Analysis of Quantiles
Heidergott, Bernd; Volk-Makarewicz, Warren - Tinbergen Instituut - 2013
Quantiles play an important role in modelling quality of service in the service industry and in modelling risk in the financial industry. Recently, Hong showed in his breakthrough papers that efficient simulation based estimators can be obtained for quantile sensitivities by means of sample path...
Persistent link: https://www.econbiz.de/10011257156