搜索结果: 1-14 共查到“商业经济学 asset”相关记录14条 . 查询时间(0.078 秒)
Multitask Principal-Agent Analyses:Incentive Contracts,Asset Ownership and Job Design
Multitask Principal-Agent Analyses Incentive Contracts Asset Ownership Job Design
2015/7/21
Multitask Principal-Agent Analyses:Incentive Contracts,Asset Ownership and Job Design.
Asset Markets with Heterogeneous Information
Asymmetric information competitive equilibrium
2015/7/20
This paper studies competitive equilibria of economies where assets are heterogeneous and traders have heterogeneous information about them. Markets are defined by
a price and a procedure for c...
Testing for Structural Change in the Predictability of Asset Returns
Testing Structural Change Predictability Asset Returns
2015/5/13
Testing for Structural Change in the Predictability of Asset Returns.
Asset Accumulation and Labor Force Participation of Disability Insurance Applicants
Disability Insurance Asset Accumulation Labor Force Participation Assets Behavior Employment
2015/4/28
Using panel data from the RAND Health and Retirement Study, I show that rejected applicants for Social Security Disability Insurance (SSDI) possess significantly more assets immediately prior to their...
The Fundamental Theorem of Asset Pricing, the Hedging Problem and Maximal Claims in Financial Markets with Short Sales Prohibitions
The Fundamental Theorem Asset Pricing Hedging Problem
2011/1/4
This paper consists of two parts. In the first part, by building on the work of Jouini and Kallal in [26], Sch\"urger in [37], Frittelli in [15], Pham and Touzi in [34] and Napp in [33], we prove the ...
Conditional Density Models for Asset Pricing
option pricing implied volatility Breeden-Litzenberger equation
2010/10/22
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the...
In the information-based approach to asset pricing the market filtration is modelled explicitly as a superposition of signals concerning relevant market factors and independent noise. The rate at whi...
Improved Frechet bounds and model-free pricing of multi-asset options
copulas Frechet-Hoeffding bounds concordance order
2010/10/19
We compute the improved bounds on the copula of a bivariate random vector when partial information is available, such as the values of the copula on the subset of $[0,1]^2$, or the value of a function...
Laplace transform analysis of a multiplicative asset transfer model
wealth distribution master equation Laplace transform Boltzmann entropy
2010/10/20
We analyze a simple asset transfer model in which the transfer amount is a fixed fraction $f$ of the giver's wealth. The model is analyzed in a new way by Laplace transforming the master equation, sol...
Gone Fishin': Seasonality in Trading Activity and Asset Prices
Gone Fishin' Seasonality in Trading Activity Asset Prices
2014/3/18
We use seasonality in stock trading activity associated with summer vacation as a source of exogenous variation to study the relationship between trading volume and expected return. Using data from 51...
Stability analysis with applications of a two-dimensional dynamical system arising from a stochastic model of an asset market
Stability analysis with applications stochastic model of an asset market
2010/11/2
We analyze the stability properties of equilibrium solutions and periodicity of orbits in a two-dimensional dynamical system whose orbits mimic the evolution of the price of an asset and the excess de...
Calibration of One- and Two-Factor Models For Valuation of Energy Multi-Asset Derivative Contracts
Valuation Energy Multi-Asset Derivative Contracts
2010/12/13
We study historical calibration of one- and two-factor models that are known to describe relatively well the dynamics of energy underlyings such as spot and index natural gas or oil prices at differe...
Price Formation in a Competitive Market When the Payoff of an Asset Depends on the Market Price
Market microstructure CARA-Normal private information
2010/12/7
We consider a competitive market where the final payoff of a risky asset depends on the market price of the asset. It is shown that when the final payoff depends on the market price, there are multipl...
Do option markets correctlyprice the probabilities of movement of the underlying asset?
State-price densities Risk-neutral densities Densitycomparison Arbitrage relationships Girsanov's Theorem Implied volatilitysmile Jump risk Peso problem
2014/3/13
We answer this question bycomparing te risk-neutral densityestimated in complete markets from cross-section of S&P 500 option prices to the risk-neutral densityinferred from the time series densityof ...