Emissions trading markets have been touted as the most efficient mechanism to achieve environmental goals at least cost. Whether in the form of voluntary markets or in a mandatory framework like in the first phase of the European Union (EU) Emission Trading Scheme (ETS), the regulator sets a cap...

This work deals with strategy optimization for electricity producers. We consider two types of auctions used to maintain the real-time ballance for production and consumption of electricity. For both auction types, we calculate the market equilibrium and discuss its properties. Copyright...

Jump-Diffusion processes capture the standardized empirical statistical features of interest rate dynamis, thus providing an improved setting to overcome some of the mispricing of derivative securities that arises with the extensively develped pure diffusion models. A combination of...

The efficiency of capital markets is largely attributable to an effective information network that exists among market participantsthat include fund managers, analysts, and investors. The role of many market participants is to improve the flow of information to assist the market in becoming...

Regulations restricting investment by pension funds in high risk and foreign assets may quarantine member accounts from contagious transmissions during financial crises. This paper analyses contagion from US equity markets to emerging market autarchic assets (Colombian private pension funds)...

This paper examines market concentration and stock returns on the Australian Securities Exchange. We find that dominant companies operating in concentrated industries in Australia are able to generate significant risk-adjusted excess stock returns and excess profits on sales (monopoly rents)....

We analyse the effect of differing uncertainty assumptions on the costs of shareholder-bondholder conflicts arising from partially debt-financed investments. A partial equilibrium model, valid for a large class of diffusion processes, is developed and then applied to the specific cases of a...

In this paper, we present an alternative approach as a suitable framework under which liability driven investments can be valued and hedged. This benchmark approach values both assets and liabilities consistently under the real world probability measure using the best performing portfolio, the...

In this paper, we consider the infinite-dimensional integration problem on weighted reproducing kernel Hilbert spaces with norms induced by an underlying function space decomposition of ANOVA-type. The weights model the relative importance of different groups of variables. We present new...

This paper investigates the effect of operating leverage, and the subsequent abandonment option available to managers, on the relationship between corporate earnings and optimal financial leverage, thereby providing an alternative (rational) explanation for the observed negative relationship...