This paper models the value of "embedded" options in foreign bonds, using stochastic calculus, by assuming that the exchange rate follows a geometric Brownian motion process and the arrival time of an early redemption of the bond by the issuer conforms to a negative exponential distribution. The...

We present an equilibrium framework in which asset prices, default-free term structure and default premia are determined simultaneously.

Our strategy in this chapter is as follows: (a) use financial market data to estimate time-series models for dividend growth and discount rates, (b) use these models to simulate dividend growth and discount rate paths for a variety of possible economies that do not contain bubbles, (c) calculate...

As one important form of market circuit breakers, price limits have been often imposed in stock and future mnarkets. This paper considers modelling the return process of such assets, focusing on the treatment of price limits. As a result, a censored-GARCH model is formulated and a Bayesian...

This paper tests if the use of simple technical trading rules on Swiss stock prices is profitable. It considers several trading rules based on the crossing of moving averages. The use of bands and oscillators such as the relative strength index or the stochastic indicator is also investigated,...

Apres une breve revue des travaux existants concernant l'utilisation de l'aide multicritere a la decision en matiere de gestion de portefeuilles, cet article propose une methodologie multicritere de gestion de portefeuilles.

Bond indentures can contain a number of provisions of optional nature. This study focuses on the call provisions. The contribution of this article is to provide an empirical analysis of the behaviour of bond issuers on the French market. The results show the firms delay the timing of calls and...

In June 1997, the Nasdaq stock market and the New York Stock Exchange (NYSE) each lowered its minimum price increment on most stocks from eighths to sixteenths. Like other researchers investigating similar events, we find that quoted spreads and effective spreads decline on both markets with the...

A simple transform of a standard uniform variate is given for simulation of the maximum attained by a Wiener process with drift, conditioned upon the level attained by the process over an arbitrary time interval. The transform arises directly from inversion of the joint distribution function of...

Numerous empirical studies have demonstrated that asset prices react rapidly, if at all, to news published in the mass media. In many cases, the information has been discounted and prices have already moved upon primary publication through news wires, press releases or firm announcements. Any...