We consider backward stochastic dierential equations (BSDEs) witha particular quadratic generator and study the behaviour of their solu-tions when the probability measure is changed, the ltration is shrunk,or the underlying probability space is transformed.[...]

We consider the modelling of credit migration risk and the pricing of migration derivativesour approach enlarges the traditional setup where credit risk is based on default solely.We implement the Regime Shifting Markov Mixture model developed in Andersson (2007)and Andersson and Vanini (2008)...

We consider the modelling of credit migration risk and the pricing of migrationderivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlyingvalue for derivative pricing we show first that the Affine Markov Chain models isnot sufficient to generate PIT migration...

We introduce a framework for analyzing the interplay between credit risk and collateralmarket risk on loan pricing. To do this, we decompose any loan into an unsecured and asecured part. Further we explicitly consider the recovery process. The framework allows usto develop semi-analytical...

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for 49 countries with relatively few ob-servations. Results show a steady increase in the asymmetry over the years for mostcountries. We nd that economic development and market...

The empirical literature on the asset allocation and medical expenditures ofU.S. households consistently shows that risky portfolio shares are increasing inboth wealth and health whereas health investment shares are decreasing in thesesame variables. Despite this evidence, most of the existing...

We propose a mathematical model for one pattern of charts studied in technicalanalysis: in a phase of consolidation, the price of a risky asset goes down times after hitting aresistance level.[....] []

In this paper, we discuss the solvability of backward stochastic differential equations(BSDEs) with superquadratic generators. We first prove that given a superquadraticgenerator, there exists a bounded terminal value, such that the associated BSDEdoes not admit any bounded solution. On the...

Between 1999 and 2007, WR Hambrecht has completed 19 IPOs in the U.S. usingan auction mechanism. We analyze investor behavior and mechanism performance inthese auctioned IPOs using detailed bidding data. The existence of some bids posted athigh prices suggests that some investors (mostly retail)...

This paper examines the effects of capital gains taxation on firms’ investmentand financing decisions. We develop a real options model in which the timing ofinvestment, the decision to default, and the firm’s capital structure are endogenouslyand jointly determined. Our analysis demonstrates...