A two-factor three-bifurcation non-recombining tree is developed to capture the institutional realities of the equity swap market. Extending Amin and Bodurtha (1995) and Amin (1991), we derive a computable expression for the price (fixed spread) of a single-currency floating equity swap. We...

This study investigates the role of risk in farmers' acreage decisions for major field crops in the North Central region by revisiting an earlier study by Chavas and Holt. The empirical model is forward-looking and reflects better variable measurement. We test the effects of wealth and revenue...

Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele...