As a corollary to Delbaen and Schachermayer’s fundamental theorem of asset pricing (Delbaen in Math. Ann. 300:463–520, <CitationRef CitationID="CR5">1994</CitationRef>; Stoch. Stoch. Rep. 53:213–226, <CitationRef CitationID="CR6">1995</CitationRef>; Math. Ann. 312:215–250, <CitationRef CitationID="CR7">1998</CitationRef>), we prove, in a general finite-dimensional semimartingale setting, that the no unbounded profit...</citationref></citationref></citationref>

In the framework of the structural approach of bond pricing, we extend the Fujita–Ishizaka model by considering more realistic payoffs. The payoff to the bondholder at time of default, provided that default occurs prior to maturity, depends on the firm value at time of default. We also find...

This paper focuses on the recently developing financial derivatives markets, and examines the usefulness of option prices as an information variable for monetary policy implementation. A set of option prices provides us with information on the whole probability distribution of the future values...

This paper proposes a testable continuous-time term-structure model with recursive utility to investigate structural relationships between the real economy and the term structure of real and nominal interest rates. Under mean-reverting expectation on real output growth and inflation, this paper...

This paper focuses on the recently developing financial derivatives markets, and examines the usefulness of option prices as an information variable for monetary policy implementation. A set of option prices provides us with information on the entire probability distribution of the future values...

This paper presents a new approach for modeling an optimal debt contract. It examines a competitive contract design in a continuous-time environment with Markov income shocks and costly verifiable information. It shows that an ex ante optimal contract has the form of a debt contract that...