Results 211 to 220 of about 3,734 (297)

Natural volatility and option pricing

In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of an unspecified, fully stochastic volatility. The input volatility functions are allowed to fluctuate randomly and to depend on time to expiration in a ...
Carey, Alexander
core  

Large‐Dimensional Cointegrated Threshold Factor Models: The Global Term Structure of Interest Rates

Oxford Bulletin of Economics and Statistics, EarlyView.
ABSTRACT In this paper we extend the two‐level factor model to account for cointegration between group‐specific factors in large datasets. We propose two nonlinear specifications: (i) a threshold vector error correction model (VECM) that allows for asymmetric adjustment across regimes; and (ii) a band VECM that captures state‐dependent adjustment which
Daniel Abreu, Paulo M. M. Rodrigues
wiley   +1 more source

A pseudo-analytic generalization of the memoryless property for continuous random variables and its use in pricing contingent claims. [PDF]

R Soc Open Sci
Carr P, Cirillo P, Cirillo P.
europepmc   +1 more source

Lessons on State and Local Income Taxes From the Twenty‐First Century and Challenges for the Future

Public Budgeting &Finance, EarlyView.
Abstract I survey recent research on subnational income tax policy, arguing that a defining feature is geography. Geographic boundaries limit the power of subnational governments to tax people and activities. The article discusses where income should be taxed and the effects of these tax rules on the interjurisdictional mobility of people and jobs.
David R. Agrawal
wiley   +1 more source

Balancing Scientific and Commercial Interests: The European Health Data Space Response to Commercial Scientific Research. [PDF]

Inquiry
Yao X, Sun Z, Man H.
europepmc   +1 more source

Learning From 25 Years of Changes in Business Tax Policy

Public Budgeting &Finance, EarlyView.
Abstract This paper summarizes the significant changes to the taxation of business income in the United States over the last 25 years and how the resulting policy variation has helped inform research on business taxation. The survey of research on the topic covers investment incentives, international taxation, corporate financial policy, issues with ...
Jason DeBacker, Aerfate Haimiti
wiley   +1 more source

Digital finance and climate risk information disclosure. [PDF]

PLoS One
Ren H, Huang J, Ren J.
europepmc   +1 more source

Creative destruction in economic growth

The Scandinavian Journal of Economics, EarlyView.
Abstract The Royal Swedish Academy of Sciences awarded the 2025 Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel to Joel Mokyr, Philippe Aghion, and Peter Howitt “for having explained innovation‐driven economic growth”. Mokyr's work explains why sustained growth was historically rare: prosperity required societies capable of ...
Ufuk Akcigit
wiley   +1 more source

The Effect and Policy Implications of Climate Disclosure Intensity Index on Chinese Firmsʼ Productivity

Asia &the Pacific Policy Studies, Volume 13, Issue 3, September 2026.
ABSTRACT Addressing climate change has become the high‐profile international issue. This paper focuses on Chinese A‐share listed firms from 2010 to 2023, adopts computerised textual analysis to construct corporate climate disclosure intensity index, and verifies their validity in various aspects.
Liyu Long, Zhi Wang, Yuan Jiang
wiley   +1 more source

Reclaiming Resilience Through Granular Arbitrage: Anticipating Sea Level Rise in Singapore. [PDF]

Crit Asian Stud
Jamieson W.
europepmc   +1 more source