We propose a Dynamic Programming (DP) approach for pricing options embedded in bonds, the focus being on call and put options with advance notice. An efficient procedure is developed for the cases where the interest-rate process follows the Vasicek, Cox-Ingersoll-Ross (CIR), or generalized...

When the relationship between observed fixed-income securities and the latent state variables in dynamic term structure models is nonlinear, existing studies usually linearize this relationship because nonlinear filtering is computationally demanding. We propose the use of the unscented Kalman...

Contents: Introduction -- 1. "when in Rome, do as the Romans do"? A call for more context sensitive research on boards of directors / Jonas Gabrielsson, Wafa Khlif and Sibel Yamak -- Part I: The inside -- Board behaviour and performance -- 2. Board informal hierarchy and board performance /...

When the relationship between security prices and state variables in dynamic term structure models is nonlinear, existing studies usually linearize this relationship because nonlinear fi?ltering is computationally demanding. We conduct an extensive investigation of this linearization and analyze...

We study the ability of three-factor affine term-structure models to extract conditional volatility using interest rate swap yields for 1991-2005 and Treasury yields for 1970-2003. For the Treasury sample, the correlation between model-implied and EGARCH volatility is between 60% and 75%. For...

Alors que divers contributions considèrent que les interactions entre le contrôleur de gestion et les managers peuvent être conflictuelles, d'autres chercheurs plaident en faveur d'une relation de coopération entre ces deux groupes d'acteurs. Cette coopération peut être liée à un...

Les décisions de divulgations sont prises sur la base d'un choix managérial (Williams, 2008). Mais la question de leurs motivations reste toujours posée. Cette recherche se propose de se centrer sur les comportements des dirigeants expliquant la divulgation volontaire d'informations. Prenant...