Risk and Sustainable Management Group Working Papers

Sort by

Display

Collections

Format

Publication Type

Author

Show more

Subject

Show more

Publication Type

Author

Show more

Subject

Show more
Risk and Sustainable Management Group Working Papers 168 records found 1 - 10nextSearch took 0.21 seconds. 
1.
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 |
2.
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 |
3.
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 |
4.
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 |
5.
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 |
6.
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 |
7.
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 |
8.
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 |
9.
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 |
10.
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 |

Interested in being notified about new results for this query?
Set up a personal email alert or subscribe to the RSS feed.