Looking at the valuation of a swap when funding costs and counterparty risk are neglected (i.e., when there is a unique risk free discounting curve), it is natural to ask "What is the discounting curve of a swap in the presence of funding costs, counterparty risk and/or collateralization". In...

Leveraged Employee Stock Ownership Plan (quot;ESOPquot;) transactions originated in the 1950s, yet there are still unresolved valuation issues that arise from a complex set of operating expenses, financing structures and contingent claims that are unique to leveraged ESOPs. Although complex,...

Hedge funds are often cited as attractive investments because of their diversification benefits and distinctive risk profiles - in contrast to traditional investments such as stocks and bonds, hedge-fund returns have more complex risk exposures that yield complementary sources of risk premia....

This paper studies the effect of stock options expiration day on the underlying shares traded on the National Stock Exchange (NSE). Overall we tested for abnormal trading volume, abnormal price movement, individual stock reversal and stock pinning on expiration days. To the best of our...

This paper presents striking evidence that option trading changes the prices of underlying stocks. In particular, we show that on expiration dates the closing prices of stocks with listed options cluster at option strike prices. On each expiration date, the returns of optionable stocks are...

The dynamics of a private equity fund is split into three components: the drawdowns from the committed capital paid into the fund; the performances of the investments effected by the fund; and the distributions of dividends and investment proceeds taken out of the fund. Three different but...

A four-factor model is intoduced for modelling the dynamics of a private equity fund. This framework is meant to encompass the main features of a private equity fund: how the capital committed by the investors is progressively drawn by the fund manager into private investments, how the...

A private equity fund is a particular investment vehicle whose dynamics depend on three primary elements: the capital committed by the investors and drawn down into investments by the fund manager; the performance of the investments; and the dividends and proceeds distributed to the investors....