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Default risk in stochastic volatility models
Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010
We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that...
Persistent link: https://www.econbiz.de/10008748331
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Information aggregation in democratic mechanisms
Britz, Volker; Gersbach, Hans - 2016 - This version: January 22, 2016
desirable policies and aim at manipulating information aggregation by misrepresenting their private information. We show that …
Persistent link: https://www.econbiz.de/10011444451
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Information Aggregation in Democratic Mechanisms
Britz, Volker - 2016
desirable policies and aim at manipulating information aggregation by misrepresenting their private information. We show that …
Persistent link: https://www.econbiz.de/10012994342
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Default Risk in Stochastic Volatility Models
Gersbach, Hans; Surulescu, Nicolae - 2010
We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values instead of the classical approach by Merton with geometric Brownian motions. We develop an analytical expression for the default probability. Our simulation results indicate that...
Persistent link: https://www.econbiz.de/10011753195
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Micro foundations for international productivity comparisons
Gersbach, Hans; Ark, Bart van - 1994
Persistent link: https://www.econbiz.de/10000896792
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The inefficiency of free banking
Gersbach, Hans - 1994 - Current version: Nov. 1993
Persistent link: https://www.econbiz.de/10000897038
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Does and how does globalization matter?
Gersbach, Hans - 1994
Persistent link: https://www.econbiz.de/10000897044
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The private and public value of information in majority decisions
Gersbach, Hans - 1989
Persistent link: https://www.econbiz.de/10000782532
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Informationseffizienz in Mehrheitsentscheidungen
Gersbach, Hans - 1991
Persistent link: https://www.econbiz.de/10000822244
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A costless remedy of the moral-hazard problem
Gersbach, Hans - 1995
Persistent link: https://www.econbiz.de/10000550799