This paper provides regime-switching stochastic volatility extensions of the LIBOR market model. First, the instantaneous forward LIBOR volatility is modulated by a continuous time homogeneous Markov chain. In a second parameterization, the volatility is modelled by a square root process with a...

Investors in equilibrium are modeled as facing investor specific risk exposures arising from incomplete diversification of personal risks across the space of assets. Personalized asset pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing...

Investors in equilibrium are modeled as facing investor specific risks across the space of assets. Personalized asset pricing models reflect these risks. Averaging across the pool of investors we obtain a market asset pricing model that reflects market risk exposures. It is observed on invoking...

Purpose: Distinguishing what employers in different areas of Great Britain need to pay to attract and retain labour has been a central component of public-sector resource allocation decisions. This paper examines how changes in the pattern of spatial wage differentials following the global...

The need to ensure adequate numbers of nurses is a key requirement of the current modernization of the UK NHS. However, it is unclear how effective wages are as an instrument to maintain or increase the nursing workforce, both in terms of absolute numbers and in the number of whole time...

Elliott R. F., Bell D., Scott A., Ma A. and Roberts E. (2005) Devolved government and public sector pay reform: considerations of equity and efficiency, Regional Studies 39 , 519-539. Public sector pay is of critical concern to the governments in Westminster and Edinburgh. It accounts for the...