Pricing Convexity Adjustment with Wiener Chaos
This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...
A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...
Public Trading and Private Incentives
This paper studies the link between public trading and the activity of a firm's large shareholder who can affect firm value. Public trading results in...
Excessive Continuation and Dynamic Agency Costs of Debt
This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...
Debt, Incentives and Performance: Evidence from UK Panel Data
A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...
Valuation and Martingale properties of shadow prices
Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...
Semiparametric Estimation of a Characteristic-based Factor Model of Stock Returns
This paper develops a new estimation procedure for characteristic-based factor models of stock returns. It describes a factor model in which the...
Banks as Catalysts for Industrialization
We provide a theoretical framework to address the historical debate about the role of banks in industrialization. We introduce banks into a model of...
The Profitability of Block Trades in Auction and Dealer Markets
The paper compares the trading costs for institutional investors who are subject to liquidity shocks, of trading in auction and dealer markets. The...
Collateral, Renegotiation and the Value of Diffusely Held Debt
Debt with many creditors is analyzed in a continuous-time pricing model of the levered firm. We specifically allow for debtor opportunism vis-a-vis a...
Financial Constraints, Precautionary Saving and Firm Dynamics
This paper proposes a structural model that analyses the way financing constraints affect investment, consumption and saving decisions of the...
Dealer Liquidity in an Auction Market: Evidence Fom the London Stock Exchange
We analyse the trade characteristics and market conditions which determine the market share of an electronic order book at the London Stock Exchange...
A Simple Model of an International Lender of Last Resort
This paper develops a simple model of an international lender of last resort (ILOLR). The World economy consists of many open economies, each with its...
