Arnold, Crack and Schwartz (ACS) (2010) generalize the Rubinstein (1994) risk-neutral implied binomial tree (R-IBT) model by introducing a risk premium. Their new risk-averse implied binomial tree model (RA-IBT) has both probabilistic and pricing applications. They use the RA-IBT model to...

Arnold, Crack and Schwartz (2010) generalize the Rubinstein (1994) risk-neutral implied binomial tree (R-IBT) model by introducing a risk premium. Their new risk-averse implied binomial tree model (RA-IBT) has both probabilistic and pricing applications. They use the RA-IBT model to estimate the...

Although dependence in financial data is pervasive, standard doctoral-level econometrics texts do not make clear that the common central limit theorems (CLTs) contained therein fail when applied to dependent data. More advanced books that are clear in their CLT assumptions do not contain any...

Generalized Method of Moments (GMM) is underutilized in financial economics because it is not adequately explained in the literature. We use a simple example to explain how and why GMM works. We then illustrate practical GMM implementation by estimating and testing the Black-Scholes option...

We extend a popular binomial model to allow for option pricing using real-world rather than risk-neutral world probabilities. There are three benefits. First, our model allows direct inference about relevant real-world probabilities (e.g. of success in a real-option project, of default on a...

I show you how to use the Bloomberg Professional Service (i.e., the “Bloomberg Terminal”) to execute a Benjamin Graham value investing exercise using Bloomberg’s equity screening (EQS) function. I used this exercise very successfully for 15 years in a final-year undergraduate Applied...

I show you how to use the Bloomberg Professional Service (i.e., the “Bloomberg Terminal”) to execute an Environmental Social Governance (ESG) investing exercise using Bloomberg’s equity screening (EQS) function. Then I show you how to execute a green bond investing exercise using...

I show you how to use the Bloomberg Professional Service (i.e., the “Bloomberg Terminal”) to obtain Bloomberg Environmental Social Governance (ESG) certification.Bloomberg ESG certification is a new self-paced e-learning interactive course that can be taken for free when sitting in front of...

I show you how to use the Bloomberg Professional Service (i.e., the “Bloomberg Terminal”) to obtain Bloomberg Market Concepts (BMC) certification.BMC certification is a self-paced e-learning interactive course that can be taken for free when sitting in front of the Bloomberg Terminal. It is...