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Solving Stochastic Equilibrium Models with the Extended Path Method
Capital asset pricing Rational expectations Solution algorithm
2015/8/4
The purpose of this paper is to investigate the
feasibility of using the extended path method - described
in Fair and Taylor [ 23 - to solve capital asset pricing.
This method is now being used rat...
Corporate Financing Decisions When Investors Take the Path of Least Resistance
Decisions Behavior Stocks Mergers and Acquisitions Policy Investment Financial Institutions
2015/5/13
We explore the consequences for corporate financial policy that arise when investors exhibit inertial behavior. One implication of investor inertia is that, all else equal, a firm pursuing a strategy ...
This presentation draws on ideas from Professor Porter's books and articles, in particular, Competitive Strategy (The Free Press, 1980); Competitive Advantage (The Free Press, 1985); "What is Strategy...
Creating Shared Value:The Path to Economic and Social Prosperity for Birmingham
Society United States
2015/5/6
The ideas drawn from "Creating Shared Value" (Harvard Business Review, Jan 2011) and "Competing by Saving Lives" (FSG, 2012).
Clusters and the New Growth Path for Europe
Technological Innovation Competition Industry Clusters Globalization Economic Growth Europe
2015/4/28
This paper outlines elements of a conceptual framework that clarifies the role that clusters play relative to government policies and actions of individual companies in supporting the emergence of "Hi...
Path-Breakers? Women’s Electoral Success and Future Political Participation
Prejudice and Bias Political Elections Gender Characteristics Public Administration Industry India
2015/4/27
This paper investigates whether the event of a woman winning office in a competitive election encourages women’s future participation in politics, using constituency level data for elections to India’...
Evolutionary Gaming Analysis of Path Dependence in Green Construction Technology Change
Green Construction Technology Path Dependent Evolutionary Game
2013/2/23
In the context of instigating green construction technology by changing current technology practices, evolutionary game theory is used to solve path dependence problems that yield stable equilibrium. ...
Constructing Sublinear Expectations on Path Space
Sublinear expectation G-expectation random G-expectation Timeconsistency Optional sampling Dynamic programming Analytic set
2012/6/5
We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather tha...
Hybrid property, path dependence, market segmentation and financial exclusion: the case of the banking industry in China
banking industry financial exclusion financial geographies hybrid property
2011/9/24
This paper investigates the role of the state in the liberalisation of the banking industry in China and the implications for the conventional convergence thesis of market segmentation and financial e...
Path properties and regularity of affine processes on general state spaces
affine processes path properties regularity Markov semimartingales
2011/7/20
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of...
The path integral representation kernel of evolution operator in Merton-Garman model
path integration evolution operator kernel option pricing Black-Scholes formula Merton-Garman model
2011/7/5
In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed.
Based on this kernel option formula is obtained, which generalizes the well-known Bla...
Analytical and Numerical Approaches to Pricing the Path-Dependent Options with Stochastic Volatility
Analytical Numerical Pricing Path-Dependent Options Stochastic Volatility
2010/10/21
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. Fo...
In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral...
Asymptotic behavior of prices of path dependent options
path dependent option Markov property Levy process Asian option partial barrier option asymptotic behavior
2010/11/3
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
A remark on Gatheral's 'most-likely path approximation' of implied volatility
remark on Gatheral's 'most-likely path implied volatility
2010/11/2
We give a rigorous proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we fix the problem of a circular defi...