This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these...

The well-publicized Christie-Schultz collusion hypothesis provides an experiment for studying the determinants of market structure in Nasdaq markets. Some markets experienced substantial compression in the profit margins for market makers due to the change of quoting convention from odd-eighth...

Previous research exploring the effect of corporate leniency programs has modelled the oligopoly stage game as a Prisoners' Dilemma. Using numerical analysis, we consider the Bertrand price game and allow the probability of detection and penalties to be sensitive to firms' prices. Consistent...

In this study, we analyze suicide rates among OECD countries with a particular effort made to gain insight into how suicide in Japan is different from suicides in other OECD countries. Several findings emerged from fixed effect panel regressions with country specific time-trend. First, the...

In this article, we review economic theories and empirical studies on the socioeconomic aspects of suicide. Through our survey, we would like to emphasize the importance of studying suicide by employing a "rational" approach that complements the medical perspective on suicide, which assumes...

This article investigates the abrupt jump in the number of suicide cases in Japan in 1998 and the subsequent persistency of this figure by utilizing a generalized decomposition formula. In particular, by considering the change in the demographic structure, we decompose the 1998 jump in the...

This paper contributes to the literature of suicide studies by presenting procedures and its estimates of the number of family members who lose their loved ones to suicide. Using Japanese aggregate level data, three main findings emerge: first, there are approximately five bereaved family...

This paper shows that joint liability borrowing may put too much pressure on the borrower, mainly through the stigma in case of repayment failure, and leads to a vexing outcome|the suicide of the borrower. We provide a model of joint liability borrowing which facilitates credit market...

In this study, we analyze suicide rates among OECD countries, with particular effort made to gain insight into how suicide in Japan is different from suicides in other OECD countries. Several findings emerged from fixed-effect panel regressions with country-specific time-trends. First, the...

In this paper, we investigate the nexus between life insurance and suicide behavior using OECD cross-country data from 1980 to 2002. Through semiparametric instrumental variable regressions with fixed effects, we find that for the majority of observations, there exists a positive relationship...