In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...

This paper analyzes optimal hedge ratios for foreign exchange (FX) rate risk of companies. Our contribution to the literature is twofold: (i) We present a theoretical two-period regret model that allows us to analyze the determinants of the optimal hedge ratio given the outcome of past hedging...

I study the effect of heterogeneous beliefs about asset prices on the long-term behavior of financial markets. Starting from the ideas of Abreu and Brunnermeier (2003), a two-dimensional system of differential equations is developed. The first dynamic variable is the asset price growth rate. The...