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Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management
Jackwerth, Jens Carsten; Hodder, James E. - Volkswirtschaftliche Fakultät, … - 2008
We model a firm’s value process controlled by a manager maximizing expected utility from restricted shares and employee stock options. The manager also dynamically controls allocation of his outside wealth. We explore interactions between those controls as he partially hedges his exposure to...
Persistent link: https://www.econbiz.de/10005837504
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Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Galkiewicz, Dominika Paula - Volkswirtschaftliche Fakultät, … - 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011220308
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Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Galkiewicz, Dominika Paula - Volkswirtschaftliche Fakultät, … - 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011220510
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Optimal option pricing and trading: a new theory
Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009
We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.
Persistent link: https://www.econbiz.de/10008685171
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Similarities and Differences between U.S. and German Regulation of the Use of Derivatives and Leverage by Mutual Funds – What Can Regulators Learn from Each Other?
GaÅ‚kiewicz, Dominika - Volkswirtschaftliche Fakultät, … - 2014
.S. funds have greater discretion to undervalue derivative exposure compared to German funds. All analyses of this study reveal … that under existing derivative and leverage regulation, funds in both countries are able to increase risk by using …
Persistent link: https://www.econbiz.de/10011140967
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Optimal option pricing and trading: a new theory
Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009
We introduce a new utility-based approach to pricing European and American options. In so doing, we overcome some of the limitations of the existing models.
Persistent link: https://www.econbiz.de/10008633352
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Revisting the Rate of Change
Khumalo, Bhekuzulu - Volkswirtschaftliche Fakultät, … - 2009
The Mean Value Theorem is a great theory and guide for any body who deals with the rate of change. This paper aims to add something to the theory. Even a small addition is better than none, only time will tell the significance of the addition.
Persistent link: https://www.econbiz.de/10005035012
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Revisiting the Derivative: Implications on the Rate of Change Analysis
Khumalo, Bhekuzulu - Volkswirtschaftliche Fakultät, … - 2009
The aim of this paper is to raise concerns with the mathematical concept of the derivative as we know it. It raises … easily understood. The paper looks at linear and polynomial functions to illustrate that the derivative is not as precise as … simple derivative. It is the nature of polynomial functions that lead to the derivative not to be accurate and this paper …
Persistent link: https://www.econbiz.de/10005621634
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The Stock Market and the Economy in Pakistan
Hsain, Fazal; Mahmood, Tariq - Volkswirtschaftliche Fakultät, … - 2001
This paper re-examines the causal relationship between stock prices and macro variables like consumption expenditure, investment spending, and economic activity (measured by GDP) in Pakistan. Using annual data from 1959-60 to 1998-99 and applying cointegration and error correction analysis, the...
Persistent link: https://www.econbiz.de/10005836483
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Les effets stabilisants de la zone-cible du taux d’inflation
Dai, Meixing - Volkswirtschaftliche Fakultät, … - 1998
Résumé: Une zone-cible du taux d’inflation comporte une borne supérieure et une borne inférieure clairement annoncées par les autorités monétaires. Ces dernières assurent la crédibilité de cette zone par des interventions ponctuelles sur les marchés financiers lorsque le taux...
Persistent link: https://www.econbiz.de/10005836918