When the underlying price process is a one-dimentional diffucion, as well as in certain restricted stochastic volatility settings, a contingent claim's delta is always bounded by the infimum and supremum of its delta at maturity. Further, if the claim's payoff is convex (concave), then the...

We study a model of renegotiation between a borrower and lender in which there is the potential for moral hazard on each side of the relationship.

Large shareholders of firms with majority blocks are often at the helm of their companies and do not necessarily have the same interests as minority shareholders. We show that bargaining problems led by the presence of multiple controlling shareholders protect minority shareholders. The same...

Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of...