Showing 121 - 130 of 547
We consider the pricing of a range of volatility derivatives, including volatility and variance swaps. Under risk-neutral valuation we provide closed form formulae for volatility-average and variance swaps for a variety of diffusion and jump-diffusion models for volatility. We describe a general...
Persistent link: https://www.econbiz.de/10005509820
It is received financial wisdom that when there is free entry by speculators, it is impossible to generate net profits on publicly available information. In this paper we study a version of the standard Kyle (85) model with endogenous information acquisition and we find that equilibria exist...
Persistent link: https://www.econbiz.de/10005509821
Despite the central importance of investors to all IPO theories, relatively little is known about their role in practice. In this paper we survey institutional investors about how they assess IPOs, what information they provide to the investment banking syndicate, and the factors they believe...
Persistent link: https://www.econbiz.de/10005509822
Regulation in the UK is undergoing fundamental change. Dissatisfaction with self-regulation and the self-regulatory organizations intensified steadily during the 1990's. The failure of regulation to avert the Maxwell pension collapse and the widespread selling of inappropriate pension policies...
Persistent link: https://www.econbiz.de/10005509823
We analyze a market game where traders are heterogeneous with respect to their rationality level and have asymmetric information. The market mechanism results into a statistical equilibrium, where traders randomise among their available actions due to their limited rationality. We provide a...
Persistent link: https://www.econbiz.de/10005509824
This paper contains a General Equilibrium model of an economy with Incomplete Markets (GEI) with money and default. The model is a simplified version of the real world consisting of a non-bank private sector, banks, a Central Bank, a government and a regulator. The model is used to analyse...
Persistent link: https://www.econbiz.de/10005509825
If the Black-Scholes model and its extensions were the discoveries of the 70s and 80s, then Value-at-risk (VaR) models are the darlings of the 90s. These models have many uses within an organisation; for example, a risk manager may use VaR to allocate trading limits, senior management for asset...
Persistent link: https://www.econbiz.de/10005509826
The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general model [Goodhart, Sunirand and Tsomocos (2003)]. The model incorporates heterogeneous agents, banks and endogenous default, thus allowing various...
Persistent link: https://www.econbiz.de/10005509827
This paper uses clinical evidence to show how the German system of corporate control and governance is both more active and more hostile than has previously been suggested. It provides a complete breakdown of ownership and takeover defence patterns in German listed companies and finds highly...
Persistent link: https://www.econbiz.de/10005509828
We analyze exchange-rate management by the central bank when it makes the FX market for the sake of social-welfare objectives. It is assumed that markets are incomplete, so that agents are exposed to exchange-rate volatility against which they cannot fully hedge. It follows that the central bank...
Persistent link: https://www.econbiz.de/10005509829