Risk and Sustainable Management Group Working Papers

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2017-04-01
09:05
I model a scenario in which investors do not know the payoff distributions of relatively newer firms and use the payoff distribution of similar well-established firms as [...]
2016-01 | Working or Discussion Paper |

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2017-04-01
12:35
An anchoring adjusted Capital Asset Pricing Model (ACAPM) is developed in which the payoff volatilities of well-established stocks are used as starting points that are ad [...]
2015-10 | Working or Discussion Paper |

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2017-04-01
14:25
An anchoring-adjusted option pricing model is developed in which the expected return of the underlying stock is used as a starting point that gets adjusted upwards to for [...]
2015-07 | Working or Discussion Paper |

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2017-04-01
13:26
When sufficiently small perturbations of parameters preserve strict preference for one alternative over another, dependence on the parameters is continuous. We characteri [...]
01 April 2015 | Working or Discussion Paper |

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2017-04-01
14:53
Market professionals with decades of experience typically argue that a call option is a surrogate for the underlying asset, indicating that they perceive the risk of a ca [...]
2015-03 | Working or Discussion Paper |

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2017-04-01
11:54
The two most intriguing anomalies in currency markets are: 1) the implied volatility smile in currency options, and 2) the forward discount bias in currency exchange rate [...]
2015-02 | Working or Discussion Paper |

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2017-04-01
15:17
Typically, three types of implied volatility smiles are seen in commodity options: the reverse skew, the smile, and the forward skew. I put forward an economic explanati [...]
2015-01 | Working or Discussion Paper |

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2017-04-01
14:17
An analogy based option pricing model is put forward. If option prices are determined in accordance with the analogy model, and the Black Scholes model is used to back-o [...]
2014-10 | Working or Discussion Paper |

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2017-04-01
09:09
A government bailout model based on the framework of time-consistent mone- tary policy of Barro and Gordon (1983) is developed. In the model, the banking sector and the g [...]
12 August 2014 | Working or Discussion Paper |

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2017-04-01
11:55
A tractable model of the formation of financial networks is developed, allowing the use of concepts from portfolio theory. The optimal financial network maximizes a Sharp [...]
2014-05 | Working or Discussion Paper |

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