Results 1 to 10 of about 62,127 (103)

WARNING: Physics Envy May Be Hazardous To Your Wealth! [PDF]

, 2010
The quantitative aspirations of economists and financial analysts have for many years been based on the belief that it should be possible to build models of economic systems - and financial markets in particular - that are as predictive as those in ...
A Blinder, A Damasio, A Hull, A Khandani, A Khandani, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, A Lo, Andrew W. Lo, B Lehmann, C Lloyd, D Crane, D Duffie, D Farmer, D Farmer, D Li, E Lorenz, E Peters, E Rolls, E Sirri, F Knight, F Reif, F Salmon, G Debreu, G Debreu, G Gigerenzer, G Loewenstein, H Scarf, H Theil, H White, J Bouchaud, J Caouette, J Coffee, J Elster, J Hamilton, J Hamilton, J Hawkins, J Lintner, J Muth, J Nash, J Satow, J Stiglitz, J Stiglitz, J Tinbergen, J Tobin, J Von Neumann, Kenneth Arrow, L Klein, L Pickard, M Gitterman, Mark T. Mueller, N Taleb, P Cootner, P Diaconis, P Samuelson, P Samuelson, P Samuelson, R Lucas, R Mantegna, R Mantegna, R Merton, R Merton, R Solow, S Grossberg, S Labaton, S Weinberg, S Woodward, Steven H Strogatz, T Brennan, T De Jong, T Masters, T Philippon, W Sharpe   +76 more
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Consistent Valuation Across Curves Using Pricing Kernels [PDF]

, 2018
The general problem of asset pricing when the discount rate differs from the rate at which an asset's cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a ...
Macrina, Andrea, Mahomed, Obeid
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Term Default, Balloon Risk, and Credit Risk in Commercial Mortgages [PDF]

, 2003
Term default and balloon risk play an interactive role in the pricing of credit risk in commercial mortgages. Most commercial mortgage pricing studies assume a borrower\u27s default decision is based solely on the property value; the mortgage valuation ...
Eppli, Mark, Tu, Charles C.
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Efficient option pricing with transaction costs [PDF]

, 2002
A fast numerical algorithm is developed to price European options with proportional transaction costs using the utility-maximization framework of Davis (1997).
Monoyios, Michael
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On Reduced Form Intensity-based Model with Trigger Events

, 2013
Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions.
Ching, Wai-Ki, Gu, Jia-Wen, Siu, Tak-Kuen, Zheng, Harry   +3 more
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Pricing Fixed-Income Securities in an Information-Based Framework [PDF]

, 2010
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary economy.
Hughston, Lane P., Macrina, Andrea
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The Sum of Its Parts: The Lawyer-Client Relationship in Initial Public Offerings [PDF]

, 2015
This Article examines the impact of the quality of a lawyer\u27s working relationship with his or her client on one of the most important types of capital markets deal in a company\u27s existence: its initial public offering (IPO).
Bitter, Jan, Jeschke, Sabina, Lahl, Kristina, Printz, Stephan, Vossen, René   +4 more
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Investing for the Long Run

, 2017
This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target ...
Leisen, Dietmar, Platen, Eckhard
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Asset pricing and investor risk in subordinated asset securitisation [PDF]

, 2005
As a sign of ambivalence in the regulatory definition of capital adequacy for credit risk and the quest for more efficient refinancing sources collateral loan obligations (CLOs) have become a prominent securitisation mechanism. This paper presents a loss-
Jobst, Andreas A.
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Master’s Program in Money and Finance (MMF) [PDF]

, 2010
The Master’s program in Money and Finance (MMF) is an innovative joint venture of the Department of Money and Macroeconomics and of the Department of Finance, both located in the new House of Finance.

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