A recent report by Paul Myners for the UK Treasury has provided a wealth of information on the structure and operation of the pension fund industry in the UK. The report points to serious deficiencies in the governance of pension funds. These concerns are of considerable significance in their...

The 1989 Brady Plan, named after the former US Treasury Secretary Nicholas Brady, was the restructuring and reduction of several emerging countries' external debt into bonds with US Treasury bonds as collateral. So far no country has ever defaulted payments, yet the market value of these bonds...

We explain the ideas behind the valuation of options with early exercise features, so called American options. We also aim to clarify some popular misconceptions about when an American option should be exercised. These misconceptions seem to be prevalent among both academics and practitioners.

Until 1970, the New York Stock Exchange prohibited public incorporation of member firms. After the rules were relaxed to allow joint stock firm membership, investment-banking concerns organized as partnerships or closely-held private corporations went public in waves, with Goldman Sachs (1999)...

In this note we show that the feasible central limit theory for realised volatility and realised covariation recently developed by Barndorff-Nielsen and Shephard applies under arbitrary diffusion based leverage effects. Results from a simulation experiment suggest that the feasible version of...

In contrast to their role in theory options are in practice not only traded for hedging purposes. Many investors also use them for speculation purposes. For these investors the Black-Scholes price serves only as an orientaTion, their decisions to buy, hold or hedge an option are also based on...

We consider the pricing of volatility products and especially volatility and variance swaps. Under risk-neutral valuation we provide closed form formulae for volatility-average and variance swaps. Also we provide a general partial differential equation for derivatives that have an extra...

In this paper we present a model for the value of a firm based on observable variables and parameters: the annual turnover, the expenses, interest rates. This value is the solution of a parabolic partial differential equation. We show how the value of the company depends on its legal status such...

Pricing high dimensional American options is a difficult problem in mathematical finance. Many simulation methods have been proposed, but Monte Carlo is numerically intensive, and therefore slow. We derive an analytic expression for a new type of multi-asset barrier option using Laplace...

We relate the organizational form of investment banking syndicates to moral hazard in team production. Although syndicates are dissolved upon deal completion, membership stability across deals represents a barrier to entry that enables the capture of quasi-rents. This improves incentives for...