This paper studies the probability distribution and option pricing for drawdown in a stochastic volatility environment. We derive an analytical approximation formula for them by applying a singular perturbation method ([12]). Then, numerical examples show that the instantaneous correlation...

This paper examines development processes of a country when the degree of verifiability is endogenously determined. We characterize the development processes rigorously and show that although the efforts for improving of verifiability are important, the income distribution of a country is...

This article deals with both theoretical and empirical analyses of the post-war period (1960-2004) for the United States and Japan. We investigated three factors contributing to growth: the growth rates of capital, labor, and labor-saving innovation. It is shown that in Japan, the growth rate of...

We consider asymptotic properties of the least squares estimator(LSE) in spatial regression with correlated errors. Firstly we derive sufficient conditions for the LSE to be strongly consistent and next necessary and/or sufficient conditions tor the LSE to be asymptotically efficient relative to...

We consider an economic geography model of a new genre: all firms and workers are mobile and their agglomeration within a city generates rising urban costs through competition on a land market. When commuting costs are high (low), the industry tends to be agglomerated (dispersed). With two...

This paper develops a general approximation scheme, henceforth called a hybrid asymptotic expansion scheme for the valuation of multi-factor European path-independent derivatives. Specifically, we apply it to pricing long-term currency options under a market model of interest rates and a general...

According to modern contract theory, how firms structure their trading patterns and governance structures will depend both on the size of any relationship-specific investments they make, and on the feasibility of detailed contracts. Suppose contracts are hard to draft and enforce, but firm A...

This paper shows a detail-free idea of multi-object large double auction design in general trading environments, where the auctioneer randomly divides agents into two groups, and agents in each group trade at the market-clearing price vector in the other group. With private values, any dominant...

This paper investigates whether or not the natural selection mechanism (NSM) of economic Darwinism works in severe recessions. Although standard firm models imply the importance of NSM in an economy by showing firm's rational behavior on entry, surviv-ing, and exit leads to macro-level TFP...

In this paper, we estimated the net agglomeration economies in the consumption side as well as the production side using Japanese city-based data of 1992, when interregional net migration nearly ceased. We showed that doubling city size increases the nominal wage by approximately 10% but...