Most demand -- especially labor demand -- is derived from the demand for some other product. This note demonstrates that the usual analysis of economic rent, as typically explained for the case of consumers' surplus, carries over to the case of derived demand. -- derived demand ; indirect demand...

Most demand - especially labor demand - is derived from the demand for some other product. This note demonstrates that the usual analysis of economic rent, as typically explained for the case of consumers' surplus, carries over to the case of derived demand.

The Cobb Douglas production function is a central element in economic growth theory and Microeconomics. Its popularity in economics stems from certain convenient mathematical properties. Some of these properties describe a set of (partial) differential equations. Although the Cobb Douglas...

We present a model for optimal execution of the financial derivatives. We show that if rehedging of the underwriter of the derivative is considered, the optimal strategy is generally non-deterministic even for deterministic price impact functions. This approach can be utilized for optimal...

We investigate the effect of including variance derivatives as calibration and hedging instruments for pricing and hedging exotic structures. This is studied empirically using market data for SPX and VIX derivatives applied in a stochastic volatility jump diffusion model

After Lehman default (credit crisis which started in 2007), practitioners considered the default risk as a major risk. The Industry began to charge for the default risk of any derivatives. In this article we try to extend the work of V.Piterbarg who established the fundamental of a new world in...

We study the local volatility function in the Foreign Exchange market where both domestic and foreign interest rates are stochastic. This model is suitable to price long-dated FX derivatives. We derive the local volatility function and obtain several results that can be used for the calibration...

In this paper we provide several applications of Gram-Charlier expansions in financial derivative pricing. We first give an exposition on how to calculate swaption prices under a two-factor Cox-Ingersoll-Ross (CIR2) model. Then we apply this method to an extended version of the model (CIR2 ). We...

This Article uses the derivative action in Asia as a lens for re-evaluating the foundational theories of Asian and comparative corporate law. It begins by demonstrating that the cultural theory of “Asian non-litigiousness” provides scant explanatory or predictive value for either the...