This paper introduces a method for simulating multivariate samples that have exact means, covariances, skewness and kurtosis. A new class of rectangular orthogonal matrices is fundamental to the methodology, and these ``L-matrices'' can be deterministic, parametric or data specific in nature....

This paper expresses the price of a spread option as the sum of the prices of two compound options. One compound option is to exchange vanilla call options on the two underlying assets and the other is to exchange the corresponding put options. This way we derive a new analytic approximation for...

This article analyzes the issue of American option valuation when the underlying exhibits a GARCH-type volatility process. We propose the usage of Rubinstein's Edgeworth binomial tree (EBT) in contrast to simulation-based methods being considered in previous studies. The EBT-based valuation...

In the UK and elsewhere, defined benefit (DB) schemes are being replaced by defined contribution (DC) schemes. However DC schemes have some substantial weaknesses, and a continuation of current policies will probably lead to another pensions crisis in a few decades. There is an alternative which...

A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. This paper demonstrates that the cross-sectional...

This study considers the relationship between trading volumes, transactions costs, and the profitability of momentum strategies using data from the UK. We demonstrate that round-trip transactions costs for selling loser firms are around double those of buying winners, and in particular, the...

We derive a general analytic approximation for pricing basket options on N assets, which is extended to analytic approximations for pricing general rainbow options, including best-of and worst-of N asset options. The key idea is to express the option's price as a sum of prices of various...

This paper considers the impact of match results on the stock returns of English football clubs. We propose that the magnitude of the response to a given result depends on the importance of the game, which is measured in two ways. First, we consider the extent to which the clubs are close rivals...

The new bank capital regulation commonly known as Basel II includes a internal rating based approach (IRB) to measuring credit risk in bank portfolios. The IRB relies on the assumptions that the portfolio is fully diversified and that systematic risk is driven by one common factor. In this work...

This paper is the first to utilize a direct test for periodic, partially collapsing speculative bubbles in US REIT prices. A long history of data is employed for the All, Mortgage and Equity REIT categories. This approach is more powerful than existing tests and is based on the formulation of a...