We analyze the pricing of risky income streams in a world with competitive security markets where investors are constrained by restrictions on possible portfolio holdings. We investigate how we can transfer concepts and pricing techniques from a world without frictions to such a more realistic...

This paper presents a new numerical method for pricing American call options when the volatility of the price of the underlying stock is stochastic. By exploiting a log-linear relationship of the optimal exercise boundary with respect to volatility changes, we derive an integral representation...

This paper derives an analytic expression for the distribution of the average volatility in the stochastic volatility model of Hull and White. This result answers a longstanding question, posed by Hull and White (Journal of Finance 42, 1987), whether such an analytic form exists. Our findings...

The issue of the impact of trade on specialisation structures and the effects of trade liberalisation on employment and labour markets has been intensively discussed in the recent literature on trade liberalisation and globalisation. In Europe this debate has gained new momentum in the...

This paper analyzes the impact of model complexity on the net present value distribution and the expected default probability of equity investments in project finance. Model complexity is analyzed along two dimensions: simulation complexity and forecast complexity. We aim to identify model...

Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from...

In facility layout problems, a major concern is the optimal design or remodeling of the facilities of an organization. The decision maker's objective is to arrange the facility in an optimal way, so that the interaction among functions (i.e. machines, inventories, persons) and places (i.e....

The purpose of this paper is to advance in the construction and calibration/estimation of an intermediate DSGE model with two policy rules for Argentina and explore to what extent two policy rules can be better than one. The BCRA´s research department currently uses a very small and non-micro...

Dynamic and Stochastic General Equilibrium (DSGE) models have become a frequent choice of modeling methodology for complex dynamic and stochastic phenomena in different branches of economics. They are increasingly used by decision-makers to analyze various policy decisions or to generate...

Explanations of why changes in the relative quantities of safe debt seem to affect asset prices often appeal informally to a portfolio balance mechanism. I show how this type of effect can be incorporated in a general class of structural, arbitrage-free asset-pricing models using a numerical...