High-dimensional pricing problems frequently arise with financial options (examples include basket options, outperformance options, interest-rate and foreign currency options) and real options. American versions of these options, i.e., where the owner has the right to exercise early, are...

We evaluate the contribution of analysts' earnings forecasts to investors' decisions by comparing the association between annual excess returns and a broad set of information items derived from financial statements with the association between excess returns and that information set plus the...

The European Strategic Program for Research in Information Technologies (ESPRIT) is by far the largest of the Research and Technological Development (RTD) Programs established by the European Commission. It is scheduled to last 15 years and has involved over 9000 organizations of various type...

An important recent development in the pricing of interest rate derivatives is the emergence of models that incorporate lognormal volatilities for forward Libor or forward swap rates while keeping interest rates stable. These market models have three attractive features: they preclude arbitrage...