Narrow search
Showing 1 - 10 of 3,417
Cover Image
Detecting informed trading activities in the options markets
Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011
We develop statistical methods to detect informed trading in options markets. We apply these methods to 31 companies from various sectors over 14 years analyzing approximately 9.6 million option prices. We find that option informed trading tends to cluster prior to certain events, takes place...
Persistent link: https://www.econbiz.de/10009314008
Cover Image
Detecting informed trading activities in the options markets : appendix on subprime financial crisis
Chesney, Marc; Crameri, Remo; Mancini, Loriano - 2011
This appendix extends the empirical results in Chesney, Crameri, and Mancini (2011). Informed trading activities on put and call options are analyzed for 19 companies in the banking and insurance sectors from January 1996 to September 2009. Our empirical findings suggest that certain events such...
Persistent link: https://www.econbiz.de/10009314012
Cover Image
A tale of two debt crises : a stochastic optimal control analysis
Stein, Jerome L. - 2009
Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...
Persistent link: https://www.econbiz.de/10003884842
Cover Image
A tale of two debt crises : a stochastic optimal control analysis
Stein, Jerome L. - 2010
Creditors, banks and bank regulators should evaluate whether a borrower is likely to default. I apply several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset...
Persistent link: https://www.econbiz.de/10003919000
Cover Image
A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price bubble led to the financial crisis that started in 2007. There is a large empirical literature concerning the relation between asset price bubbles and financial crises. I evaluate...
Persistent link: https://www.econbiz.de/10003936616
Cover Image
Land conversion pace under uncertainty and irreversibility : too fast or too slow?
Di Corato, Luca; Moretto, Michele; Vergalli, Sergio - 2011
landholders under uncertainty about the value of environmental services and irreversible development. We study land conversion … Government to induce adequate participation in a conservation plan. We study the impact of uncertainty on the optimal conversion … of deforestation. Interestingly, we show that uncertainty, even if it induces conversion postponement in the short …
Persistent link: https://www.econbiz.de/10009379745
Cover Image
Dynamic optimization and learning : how should a manager set prices when the demand function is unknown?
Carvalho, Alexandre Ywata de; Puterman, Martin L. - 2015
This paper considers the problem of changing prices over time to maximize expected revenues in the presence of unknown demand distribution parameters. It provides and compares several methods that use the sequence of past prices and observed demands to set price in the current period. A Taylor...
Persistent link: https://www.econbiz.de/10012025378
Cover Image
Optimal sequential investigation rules in competition law
Kerber, Wolfgang; Kretschmer, Jürgen-Peter; … - 2008
Although both in US antitrust and European competition law there is a clear evolution to a much broader application of "rule of reason" (instead of per-se rules), there is also an increasing awareness of the problems of a case-by-case approach. The "error costs approach" (minimizing the sum of...
Persistent link: https://www.econbiz.de/10003865832
Cover Image
Does U.S. monetary policy respond to macroeconomic uncertainty?
Gomez, Thomas; Piccillo, Giulia - 2023
We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure … of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a … of being in a high-uncertainty regime. Second, we estimate a monetary policy reaction function that, apart from …
Persistent link: https://www.econbiz.de/10014265941
Cover Image
On development paths minimizing the aggregate labor-reallocation costs in the threesector framework and an application to structural policy
Stijepic, Denis - 2019
Cross-sector labor reallocation is associated with costs at the micro level ranging from the costs of geographical relocation and skill change/adaptation to unemployment. We show that monotonous reallocation paths minimize the aggregate reallocation costs in the three-sector framework (relating...
Persistent link: https://www.econbiz.de/10012265652