Publications des institutions partenaires
An embedding result for generalized Orlicz-Sobolev spaces
Institution partenaire
English / 01/01/1997
Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions
We use wehn-issued transactions data to assess the Treasury's current experiment with uniform auctions, suggesting a higher information release, which should reduce pre-auction uncertainty and the winner's curse. Under uniform auctions, wehn-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory…
Institution partenaire
English / 01/01/1996
On the sharpness of the Orlicz-Sobolev imbedding theorem
Institution partenaire
English / 01/01/1996
A Comparison of US, UK, and German Insolvency Codes
This paper describes three insolvency codes, those of the United Kingdom (UK), Germany, and the United States (US) and compares their efficiency against a number of benchmarks. These codes have been chosen because they cover a broad spectrum of debtor- and creditor-oriented insolvency procedures. The paper also compares the plans of distressed firms' reorganizations both within…
Institution partenaire
English / 01/01/1996
A Calderon-Zygmund extension theorem for abstract Sobolev spaces
Institution partenaire
English / 01/01/1995
Analytical solutions for the pricing of american bond and yield options
In this paper we use the Cox, Ingersoll, and Ross (1985b) single-factor, term structure model and extend it to the pricing of American default-free bond puts. We provide a quasi-analytical formula for these option prices based on recently established mathematical results for Bessel bridges, coupled with the optimal stopping time method. We extend our results to another interest rate…
Institution partenaire
English / 01/01/1993
Diffusion coefficient estimation and asset pricing when risk premia and sensitivities are time varying
The exponential of a scalar diffusion is considered. Point estimates of the diffusion coefficient can be obtained by considering proportional increments of different powers of the exponential. an investigation of the minimum variance estimator gives unique optimal power.
Institution partenaire
English / 01/01/1993
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