Short and Long Run Uncertainty -- by Jose Maria Barrero, Nicholas Bloom, Ian...
Uncertainty appears to have both a short-run and a long-run component, which we measure using firm and macro implied volatility data from options of 30 days to 10 years duration. We ask what may be...
View ArticleWeekly Top 5 Papers â August 28th 2017
1. A Brief Introduction to the Basics of Game Theory by Matthew O. Jackson (Stanford University – Department of Economics)read more...
View ArticleDefault Contagion with Domino Effect , A First Passage Time Approach....
The present paper introduces a structural framework to model dependent defaults, with a particular interest in their contagion.
View ArticleAn equilibrium-conserving taxation scheme for income from capital....
Under conditions of market equilibrium, the distribution of capital income follows a Pareto power law, with an exponent that characterizes the given equilibrium. Here, a simple taxation scheme is...
View ArticleA Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing...
This algorithm extends Ljungqvist and Sargent (2012) algorithm of Stackelberg dynamic game to the case of dynamic stochastic general equilibrium models including exogenous forcing variables. It is...
View ArticleLeadership Results: How to Create Adaptive Leaders and High-Performing...
Leadership Results explores the fall of traditional leadership thinking and the struggling multibillion dollar leadership development industry that is failing to deliver results, and explains the...
View ArticleBlind Spots: How to uncover and attract the fastest emerging economy
Blind Spots outlines the way forward for companies who want to get early-mover advantage on this new $28 trillion economy. This powerful market has remained untapped, ignored and underserved despite...
View ArticleSocial Media for Business: Foolproof Tips to Help You Promote Your Business...
Social Media for Business is the essential guide to navigating the social media maelstrom and effectively promoting your business online. You'll learn how to develop a simple marketing plan, use social...
View ArticleIn a Blast From a Financial Crisis Past, Synthetic CDOs Are Back
The market for collateralized debt obligations (CDOs) is on the rise again after years on the decline https://t.co/jgqsp4WyZR — moneyscience (@moneyscience)…
View ArticleQuality Pricing-to-Market
This paper analyses firm's pricing-to-market decisions in vertically differentiated industries. We first present a model featuring firms that sell goods of heterogeneous quality levels to consumers who...
View ArticleThe Distance Effect in Banking and Trade
The empirical gravity literature finds geographical distance to be a large and growing obstacle to trade, contradicting the popular notion that globalization heralds "the end of geography". This...
View ArticleMinimax theorems for American options in incomplete markets without...
In this paper we give sufficient conditions guaranteeing the validity of the well-known minimax theorem for the lower Snell envelope with respect to a family of absolutely continuous probability...
View ArticleStock Trading via Feedback Control: Stochastic Model Predictive or Genetic?....
This work underlies the poster presented at the XVIII Workshop on Quantitative Finance (QFW2017) in Milano on January 25-27, 2017. read more...
View ArticleThe stabilizing effect of volatility in financial markets....
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price...
View ArticleAmerican options in an imperfect market with default. (arXiv:1708.08675v1...
We study pricing and (super)hedging for American options in an imperfect market model with default, where the imperfections are taken into account via the nonlinearity of the wealth dynamics. The...
View ArticleChanging the Direction of the Economic and Demographic Research....
A simple but useful method of reciprocal values is introduced, explained and illustrated. This method simplifies the analysis of hyperbolic distributions, which are causing serious problems in the...
View ArticleMeasurement of Common Risk Factors: A Panel Quantile Regression Model for...
This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the...
View ArticleSignificant ties: Identifying relationship lending in temporal interbank...
Relationship lending is conventionally interpreted as a strong partnership between a lender and a borrower. Nevertheless, we still lack consensus regarding how to quantify a lending relationship while...
View ArticleMethodology of the statistics on payments and financial market...
xxxxx Methodology of the statistics on payments and financial market infrastructures in the CPMI countries (Red Book statistics), August 2017.
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