This paper discusses the value of information in games with state contingent payoffs, using a simple two-stage duopoly model. In the first stage, each duopolist simultaneously chooses whether to observe the market demand, which is either high or low. The second stage game is an ordinary...

Malthus’ (1798) population hypothesis is inconsistent with the demographic transition and the concurrent massive expansion of incomes observed among industrialised countries. This study shows that eliminating the income-effect on the demand for children from the Malthusian model makes it...

This research develops semiparametric kernel-based estimators of state-specific conditional transition intensitiesm, hs (y|x), for duration models with right-censoring and/or multiple destinations (competing risks). Both discrete and continous duration data are considered. The maintained...

This paper tackles the issue of choosing roles in duopoly games. First, it is shown that the two necessary (and sufficient, if both satisfied) conditions for sequential play to emerge at equilibrium are that both leader and follower are at least weakly better off than under simultaneous play....

This paper develops and compares two theories of strategic behavior of professional forecasters. The first theory posits that forecasters compete in a forecasting contest with pre-specified rules. In equilibrium of a winner-take-all contest, forecasts are excessively differentiated. According to...

In this paper, we investigate the buy and sell arrival process in a limit order book market. Using an intensity framework allows to estimate the simultaneous buy and sell intensity and to derive a continuous-time measure for the buy-sell pressure in the market. Based on limit order book data...

We review how reflection results can be used to give simple proofs of price formulas and derivations of static hedge portfolios for barrier and lookback options in the Black-Scholes model.

This paper proposes a dynamic proportional hazard (PH) model with non-specified baseline hazard for the modelling of autoregressive duration processes. A categorization of the durations allows us to reformulate the PH model as an ordered response model based on extreme value distributed errors....