Discussion Papers

We examine the relationship between the risk premium on the S&P500 index total return and its conditional variance. We propose a new semiparametric...

We develop an incomplete contract model to analyze the enlargement strategy of a club. An applicant is characterized by his wealth and the degree of...

This paper investigates whether banks’ loan supply depend on internally generated capital in a fashion that varies according to the size-structure of...

Many practitioners point out that the speculative profits of institutional traders are eroded by the difficulty in gauging the price impact of their...

We consider a model of optimal bank closure rules (cum capital replenishment by banks), with Poisson-distributed audits of the bank’s asset value by...

One distinguished feature of internal capital markets is their ability to reallocate funds in favour of the most profitable divisions (winner-picking)...

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach...

This paper presents an approximated formula of the convexity adjustment of Constant Maturity Swap rates, using Wiener Chaos expansion, for multi...

This paper presented a new technique for the simulation of the Greeks (i.e. price sensitivities to parameters), efficient for strongly discontinuous...

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...

This paper analyses the incentives of the equityholders of a leveraged company to shut it down in a continuous time, stochastic environment. Keeping...

A large body of theoretical literature suggests that capital structure plays an important role as a managerial incentive mechanism. Cross-sectional...

Concepts of asset valuation based on the martingale properties of shadow (or marginal utility) prices in continuous-time, infinite-horizon stochastic...

This paper develops a new estimation procedure for characteristic-based factor models of stock returns. It describes a factor model in which the...

We provide a theoretical framework to address the historical debate about the role of banks in industrialization. We introduce banks into a model of...