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On the timing option in a futures contract

Biagini, Francesca; Björk, Tomas - 2005

The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the...

Persistent link: https://www.econbiz.de/10010281316

Bertrand competition with intertemporal demand

Dutta, Prajit; Matros, Alexander; Weibull, Jörgen W. - 2002

In the text-book model of dynamic Bertrand competition, competing firms meet the same demand function every period. This is not a satisfactory model of the demand side if consumers can make intertemporal substitution between periods. Each period then leaves some residual demand to future...

Persistent link: https://www.econbiz.de/10010281317

Does adverse selection matter? Evidence from a natural experiment

Grönqvist, Erik - 2004

The empirical evidence of adverse selection in insurance markets is mixed. The problem in assessing the extent of adverse selection is that private information, on which agents act, is generally unobservable to the researcher, which makes it difficult to distinguish between adverse selection and...

Persistent link: https://www.econbiz.de/10010281320

Outer measure and utility

Voorneveld, Mark; Weibull, Jörgen W. - 2008

approach for countable domains and combining this with basic measure theory, we obtain necessary and sufficient conditions for … the existence of upper semi-continuous utility functions on a wide class of domains. Although links between utility theory … and measure theory have been pointed out before, to the best of our knowledge this is the first time that the present …

Persistent link: https://www.econbiz.de/10010281322

General quadratic term structures of bond, futures and forward prices

Gaspar, Raquel M. - 2004

For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other,...

Persistent link: https://www.econbiz.de/10010281327

Monetary policy with incomplete exchange rate pass-through

Adolfson, Malin - 2001

The central bank's optimal reaction to foreign and domestic shocks is analyzed in an inflation targeting model allowing for incomplete exchange rate pass-through. Limited pass-through is incorporated through nominal rigidities in an aggregate supply-aggregate demand model derived from some...

Persistent link: https://www.econbiz.de/10010281328

Do forward markets enhance competition? Experimental evidence

Le Coq, Chloé; Orzen, Henrik - 2002

Hedging risks is an important rationale for the existence of forward markets. However, Allaz and Vila (1993) show that duopolists can also have a strategic motive to sell forward, irrespective of exogenous uncertainties. Moreover, in their model the possibility of forward trading increases...

Persistent link: https://www.econbiz.de/10010281331

Reconsidering the role of money for output, prices and interest rates

Favara, Giovanni; Giordani, Paolo - 2002

New Keynesian models of monetary policy assign no role to monetary aggregates, in the sense that the level of output, prices, and interest rates can be determined without knowledge of the quantity of money. We evaluate the empirical validity of this prediction by studying the effects of shocks...

Persistent link: https://www.econbiz.de/10010281333

Does active portfolio management create value? An evaluation of fund managers' decisions

Engström, Stefan - 2004

In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into...

Persistent link: https://www.econbiz.de/10010281335

Introducing a spread into the Kyle model

Salomonsson, Marcus - 2009

The Kyle (1985) model is extended to take into account market maker competition and the spread. It is shown that with a spread the Kyle model has a Nash equilibrium also with two market makers, not only with three or more, as shown in earlier research. The spread is endogenized, and two testable...

Persistent link: https://www.econbiz.de/10010281344