Market frictions inhibit the perfect replication of property derivatives, and define the property spread as a price measure in the incomplete real estate market. We identify transaction costs, transaction time, and short sale constraints as the main frictions in this market. Based on these...

This paper makes use of perturbation theory to solve analytically a class of robust control problems implied by Anderson, Hansen and Sargent (2000) (AHS (2000)) model of a preference for robustness. For the constant opportunity set model, we provide (i) asymptotic expressions that characterize...

We show in this paper how a tax law can be formulated which (i) does not distort economic incentives of individuals and firms, (ii) is based on low information requirements, and (iii) which does not violate important behavioral facts such as fairness in taxation of the subjects. That for, a...

This paper analyzes structured products with a focus on the Swiss market. Empirical results for these products' five major categories are presented, along with case studies and a general discussion. The paper addresses three main questions: How did structured products perform in the period...

We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close...