We provide a monotonic transformation of an initial diffusion with a level-dependent diffusion parameter that yields a second, deterministic parameter process. Altering the diffusion parameter while maintaining the original Brownian motion at the expense of the drift can be viewed as a...

This paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii) there is a single state variable whose transaction-time price path is binomial, (iii) there are riskfree bonds with calendar-time maturities, and (iv) the relation...

This paper empirically examines the incremental relation between trading volume surrounding quarterly earnings announcements and institutional holdings. Consistent with Cready (1988) and Lee (1992), we find a significant positive relation between abnormal trading volume and the fraction of...

Proposals and recommendations have been made in a number of reports in an attempt to encourage firms to adopt of "best practice", as identified by the Group of Thirty, through public disclosure requirements and rules for determining the amount of regulatory capital to support trading and...

We consider a model in which all investment opportunities are decribed in termes of cash flows. Our investment opportunities as assumed to be very general: they don't necessarily involve two dates and are not specifically related to a market model.

This paper presents an empirical test of Dupire's (1993) option price inversion approach using FT-SE 100 index options.

We study asset prices in an economy where some investors classify risky assets into different styles and move funds back and forth between these styles depending on their relative performance.