The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the Black and Sholes formula (1973) and Cox and Ross (1976 a and b), has been formalized in a general framework by Harrison and Kreps (1979), Harrison and Pliska (1979) and Kreps...

In this paper, we start by considering market models with fixed costs; in such a context, we characterize the absence of arbitrage opportunity and we provide pricing rules. We then apply these results to extend some classical interest rate and option pricing models. In particular, we prove that...

In its Conceptual Framework (CF), the Financial Accounting Standards Board (FASB) has not identified the observable phenomena and was not able to identify a single measurement property in financial accounting. While identifying aspects of the observable phenomena in financial accounting, the...

Purpose – The purpose of this paper is to examine the relationship between banking development and the size of shadow economies by employing data on 137 countries over the period from 1995 to 2007. Both cross-sectional and panel analysis suggest that an improvement in the development of the...

We study optimal investment with multiple assets in the presence of small proportional transaction costs. Rather than computing an asymptotically optimal no-trade region, we optimize over suitable trading frequencies. We derive explicit formulas for these and the associated welfare losses due to...

On December 3, 2024, Michael Hudson met with capital-as-power researchers Jonathan Nitzan, Tim Di Muzio, and Blair Fix to discuss the intersections between their two lines of research. What follows is a transcript of the conversation. A recording of the discussion is available at...

El 3 de diciembre de 2024, Michael Hudson se reunió con los investigadores del capital como poder Jonathan Nitzan, Tim Di Muzio y Blair Fix para discutir las intersecciones entre sus dos líneas de investigación. Lo que sigue es una transcripción de la conversación.

Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so....

The concept of settlement balances is simple in its definition but complex when attempting to understand how they interplay between a central bank and the financial system. Settlement balances can be defined as interest-bearing deposits that belong to participants of Canada's payment system and...