We develop a dynamic model of corporate investment and financing decisions in whichcorporate insiders have superior information about the firm's growth prospects. We show thatrms with positive private information can credibly signal their type to outside investors usingthe timing of corporate...

The study of liquidity in financial markets either invokes the ease with whichfinancial securities can be bought and sold, or addresses the ability to tradewithout triggering important changes in asset prices. More specifically, onecan think of liquidity as an exogenous measure of the added...

Changing noise levels have a severe impact on house prices and through the leveragein nancing on households wealth. This risk is essential for houses close to airportswith uncertain aircraft regimes. We design and calibrate real options based on aircraftnoise to hedge against noise risk. The...

We consider an homogeneous class of assets, whose returns are driven by an unobservablefactor. We derive approximated prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order 1=n, these approximationsinvolve solely...

We consider backward stochastic dierential equations (BSDEs) witha particular quadratic generator and study the behaviour of their solu-tions when the probability measure is changed, the ltration is shrunk,or the underlying probability space is transformed.[...]

We solve for the equilibrium dynamics of information sharing in a large pop-ulation. Each agent is endowed with signals regarding the likely outcome of arandom variable of common concern. Individuals choose the effort with whichthey search for others from whom they can gather additional...