Results 11 to 20 of about 59,747 (184)

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
core   +3 more sources

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.
core   +1 more source

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
core   +3 more sources

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.
core   +3 more sources

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
core   +3 more sources

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
core   +1 more source

Comparative Wear and Friction Analysis of Sliding Surface Materials for Hydrostatic Bearing under Oil Supply Failure Conditions

Advanced Engineering Materials, EarlyView.
Hydrostatic bearings excel in high‐precision applications, but their performance hinges on a continuous external supply. This study evaluates various material combinations for sliding surfaces to mitigate damage during supply failures or misalignment and to discover the most effective materials identified for enhancing the reliability and efficiency of
Michal Michalec, Lukáš Daněk, Jan Foltýn, Petr Svoboda, Carsten Gachot, Martin Hartl, Ivan Křupka   +6 more
wiley   +1 more source

Information, Inflation, and Interest

, 2007
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting.
Hughston, Lane P., Macrina, Andrea
core   +1 more source

Copper‐based Materials for Photo and Electrocatalytic Process: Advancing Renewable Energy and Environmental Applications

Advanced Functional Materials, EarlyView.
Cu‐based catalysts as a cornerstone in advancing sustainable energy technologies are fully reviewed in this manuscript, highlighting their potential in photo‐ and electrocatalysis. It includes metallic copper, copper oxides, copper sulfides, copper halide perovskites, copper‐based metal–organic frameworks (MOFs), and covalent organic frameworks (COFs),
Jéssica C. de Almeida, Yanjie Wang, Thais A. Rodrigues, Paulo H. H. Nunes, Vagner R. de Mendonça, Paulo H. E. Falsetti, Leticia V. Savazi, Tao He, Alexandra V. Bardakova, Aida V. Rudakova, Jie Tian, Alexei V. Emeline, Osmando F. Lopes, Antonio Otavio T. Patrocínio, Jia Hong Pan, Caue Ribeiro, Detlef W. Bahnemann   +16 more
wiley   +1 more source

On pricing kernels, information and risk [PDF]

, 2013
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the ...
Gebbie, T. J., Wilcox, D. L.
core   +1 more source