We examine default-free contracts in an infinite-horizon economy in which some individuals have access to a productive, intertemporal technology. Individuals without access to the technology must lend their savings to those with access.

A monopolist firm sells a single product to a market where the customers may be enticed to accept a delay in when their orders are shipped. The enticement is a discounted price for the product. The market consists of several segments with different degrees of aversion to delays. The firm offers...

We study a variety of optimal investment problems for objectives related to aataining goals by a fixed terminal time.

This paper develops methods for relating the prices of discrete- and continuous-time versions of path-dependent options sensitive to external values of the underlying aset. including lookback, barrier, and hindsight options. The relationships take the form of correction terms that can be...

We develop a simulation algorithm for estimating the prices of American-style securities, i.e. securities with opportunities for early exercice. Our algorithm provides both point estimates and error bounds for true security price.

We simplify Merton's fund separation theorem by showing that investors will hold hedge funds intheir optimal portfolio only to hedge against changes in the slope or position of the instantaneous capital market line.