Publications des institutions partenaires
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Closed-form convexity and cross-convexity adjustments for Heston prices
We present a new and general technique for obtaining closed-form expansions for prices of options in the Heston model, in terms of Black–Scholes prices and Black–Scholes Greeks up to arbitrary order. We then apply the technique to solve, in detail, the cases for the second-order and third-order expansions. In particular, such expansions show how the convexity in volatility, measured…
Institution partenaire
English / 01/01/2011
Structured finance, acquisitions and debt agency
Modern corporations use complex debt instruments and pursue acquisitions. In orderto analyze the properties of some of these contracts in the event of an acquisition, thispaper considers a company that has an incumbent capital structure, comprising one of five practically important structured debt contracts. An opportunity for an acquisition comes along that was not ex-ante…
Institution partenaire
English / 01/01/2011
Regulated and non-regulated companies, technology adoption in experimental markets for emission permits, and option contracts
This paper examines the investment strategies of regulated companies in abatement technologies, market participants' trading behaviors, and the liquidity level in an inter-temporal cap{and{trade market using laboratory experiments. The experimental analysis is performed under varying market structures: the exclusive presence of regulated companies; the inclusion of subjects not…
Institution partenaire
English / 01/01/2011
Volatility asymmetry, news, and private investors
Institution partenaire
English / 01/01/2011
Entrepreneurial Spawning and Firm Characteristics
We analyze the implications of entrepreneurial spawning for a variety of firm characteristics such as size, focus, profitability, and innovativeness. We examine the dynamics of spawning over time. Our model accounts for much of the empirical evidence relating to the relation between spawning and firm characteristics. Firms that have higher patent quality spawn more, as do firms that…
Institution partenaire
English / 01/01/2011
Relational Contracts When the Agent' s Productivity Inside the Relationship is Correlated with Outside Opportunities
An agent can choose to forego bene ts from side opportunities and to instead provide bene ts to the principal. In return, the principal o¤ers rewards. If this exchange is not contractible, typically repeated interaction will be required to sustain it. This model allows the agents productivity in contractible and possibly also non-contractible actions inside the relationship to be…
Institution partenaire
English / 01/01/2011
Banking regulation: liquidity measures, capital requirements and deposit insurance
Institution partenaire
English / 01/01/2011
Trust and the role of transparency in the context of the investment decision: evidence from institutional investors
Institution partenaire
English / 01/01/2011
How much is Banking Secrecy worth? The case of Swiss Banks
We use an early episode of negotiations between Switzerland and the European Union to investigate the value of banking secrecy for four Swiss banks: two universal banks and two private banks. We nd that the value of banking secrecy to private banks is large, accounting for at least 8 to 14% of their market value. Perhaps surprisingly, banking secrecy appears to account for only a…
Institution partenaire
English / 01/01/2011
Systemic risk: changing the regulatory perspective
The article puts forward the view that the regulatory perspective on systemic risk should be changed drastically. The sub-prime crisis has indeed revealed many loopholes in the supervisory/regulatory framework for banks—in particular, the inability to deal with the too-big-to-fail syndrome and also the lack of resiliency of interbank and money markets. To a large extent, the…
Institution partenaire
English / 01/12/2010
Numerical simulation of the overlapping generations models with indeterminacy
In this paper we explore the computation and simulation of stochastic overlapping generation (OLG) models. To do so we compute all Markovian equilibria adopting a recently developed numerical algorithm. Among the models we studied, the indeterminacy in deterministic OLG model results in many different equilibrium paths corresponding to the initial condition that all asymptotically…
Institution partenaire
English / 23/11/2010
Indirect Reciprocity and Money
Using an experimental analysis of a simple monetary economy as a basis, we argue that a monetary system can be more stable than one would expect from individual rationality. We show that positive reciprocity stabilizes the monetary system, provided every participant considers the feedback of his choice to the stationary equilibrium. If, however, the participants do not play…
Institution partenaire
English / 01/11/2010
The Fed-model and the changing correlation of stock and bond returns: An equilibrium approach
This paper presents an equilibrium model that provides a rational explanation for two features of data that have been considered puzzling: The positive relation between US dividend yields and nominal interest rates, often called the Fed-model, and the time-varying correlation of US stock and bond returns. Key ingredients are time-varying first and second moments of consumption growth…
Institution partenaire
English / 26/10/2010
Solving the Multi-Country Real Business Cycle Model using a Smolyak-Collocation Method
We describe a sparse-grid collocation method to compute recursive solutions of dynamic economies with a sizable number of state variables. We show how powerful this method can be in applications by computing the non-linear recursive solution of an international real business cycle model with a substantial number of countries, complete insurance markets and frictions that impede…
Institution partenaire
English / 01/10/2010
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