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Ruban, Oleg; Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006

This article studies four transform pricing methods in the context of generalequilibrium (GE) framework. The four … among actuarial literature and practice. The transform pricing methodsoffer a convenient solution to contingent claim … pricing problem when the underlyingrisk exposure cannot be fully hedged. We show analytically that these fourmethods are …

Persistent link: https://www.econbiz.de/10005870122

Market Liquidity Risk - An Overview

Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...

Persistent link: https://www.econbiz.de/10005870300

Firm Migration and Stock Returns

Puopolo, Giovanni W. - Finrisk - 2009

This paper studies the asset pricing implications of a general equi-librium model in which real investment is …

Persistent link: https://www.econbiz.de/10009022140

Asset Pricing with Matrix Jump Diffusions

Leippold, Markus; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010

applications to, e.g., multivariate option pricing with stochasticvolatilities and correlations, fixed-income models with …

Persistent link: https://www.econbiz.de/10009248844

Three Solutions to the Pricing Kernel Puzzle

Hens, Thorsten; Reichlin, Christian - Swiss National Centre of Competence in Research North … - 2010

The pricing kernel puzzle is the observation that the pricing kernelmight be increasing in some range of the market … returns. This paperanalyzes the pricing kernel in a nancial market equilibrium. If mar-kets are complete and investors are … risk-averse and have common andtrue beliefs, the pricing kernel is a decreasing function of aggregateresources. If at least …

Persistent link: https://www.econbiz.de/10009305117

Liquidity Models in Continuous and Discrete Time

Roch, Alexandre F.; Gökay, Selim; Soner, H. Mete - Swiss National Centre of Competence in Research North … - 2010

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...

Persistent link: https://www.econbiz.de/10009305121

An empirical evaluation of three post Keynesian models

Skott, Peter - 2010

Structuralist and post Keynesian models differ in their assumptions about firms' investment behavior and pricing … variables are consistent with the Kaldorian model. The Kaleckian investment function and the Robinsonian pricing behavior find …

Persistent link: https://www.econbiz.de/10010287839

Cyclical patterns of employment, utilization and profitability

Zipperer, Ben; Skott, Peter - 2010

The interaction between income distribution, accumulation, employment and the utilization of capital is central to macroeconomic models in the 'heterodox' tradition. This paper examines the stylized pattern of these variables using US data for the period after 1948. We look at the trends and...

Persistent link: https://www.econbiz.de/10010287851

Price setting and price adjustment in some European Union countries: Introduction to the special issue

Levy, Daniel; Smets, Frank - 2010

This introductory essay briefly summarizes the eleven empirical studies of price setting and price adjustment that are included in this special issue. The studies, which use data from several European countries, were conducted as part of the European Central Bank's Inflation Persistence Network.

Persistent link: https://www.econbiz.de/10010336066

Pricing on the fish market: Does size matter?

Sjöberg, Eric - 2014

The importance of fish size for price per kilo is studied using an inverse demand approach. Prices per kilo in different size categories of the same species differ significantly. This means that the average price for a species may change due to e.g., high-grading, growth overfishing or a...

Persistent link: https://www.econbiz.de/10010369482