We formulate the problem of finding classes of kinetic dependencies in irreversible thermodynamic and microeconomic systems for which minimal dissipation processes belong to the same type. We show that this problem is an inverse optimal control problem and solve it. The commonality of this...

Jump-Diffusion processes capture the standardized empirical statistical features of interest rate dynamis, thus providing an improved setting to overcome some of the mispricing of derivative securities that arises with the extensively develped pure diffusion models. A combination of...

The efficiency of capital markets is largely attributable to an effective information network that exists among market participantsthat include fund managers, analysts, and investors. The role of many market participants is to improve the flow of information to assist the market in becoming...

Regulations restricting investment by pension funds in high risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. This paper analyses contagion from US equity markets to emerging market autarchic assets (Colombian private pension funds)...

This paper examines market concentration and stock returns on the Australian Securities Exchange. We find that dominant companies operating in concentrated industries in Australia are able to generate significant risk-adjusted excess stock returns and excess profits on sales (monopoly rents)....

We analyse the effect of differing uncertainty assumptions on the costs of shareholder-bondholder conflicts arising from partially debt-financed investments. A partial equilibrium model, valid for a large class of diffusion processes, is developed and then applied to the specific cases of a...

In this paper, we present an alternative approach as a suitable framework under which liability driven investments can be valued and hedged. This benchmark approach values both assets and liabilities consistently under the real world probability measure using the best performing portfolio, the...