This paper provides a numerical approach based on a Monte Carlo simulation for valuing dynamic capital budgeting problems with many embedded real options dependent on numerous state variables. We propose a way of decomposing a complex capital budgeting problem with many options into a set of...

Despite major structural shifts in the international monetary system over the past six decades, the US dollar remains the dominant international reserve currency. Using a newly compiled database of individual economies' reserve holdings by currency, this departmental paper finds that financial...

This paper assess how priorities of the IMF's membership have evolved over the past two decades, by using text mining techniques on a unique dataset combining IMFC communiques and constituency statements. Our results reveal significant variation in priorities across time and constituencies....

We propose a binomial lattice approach for valuing options whose payoff depends on multiple state variables following correlated geometric Brownian processes. The proposed approach relies on two main ideas: a transformation of the underlying processes as in the log-transformed binomial lattice...

We develop a model that endogenizes dynamic financing, investment, and cash retention/payout policies in order to analyze the effect of financial flexibility on firm value. We show that the value of financing flexibility depends on the costs of external financing, the level of corporate and...

This paper assess how priorities of the IMF’s membership have evolved over the past two decades, by using text mining techniques on a unique dataset combining IMFC communiqués and constituency statements. Our results reveal significant variation in priorities across time and constituencies....

We empirically document and theoretically investigate why non-dilutive CoCos are prevalent, even though advocates of CoCos suggest such securities should be dilutive to reduce bank risk-taking. In an agency model with two subsequent moral hazards, we show that while dilutive CoCos deter ex-ante...