The real effects of relationship lending
This paper studies the real consequences of relationship lending on firm activity in Italy following Lehman Brothers' default shock and Europe's sovereign debt crisis. We use a large data set that...
View ArticleIs Regret a Bad Thing?
Do you have some decisions or actions that you regret? Perhaps it's an action taken yesterday that you wish could be taken back. Or, perhaps you regret something you wished that you had done in the...
View ArticleWe're not Google, and That's not a Bad Thing: Establishing an Attractive, but...
Steven O’Hanlon, Numerix CEOread more...
View ArticleKinetic models for goods exchange in a multi-agent market....
We introduce a system of kinetic equations describing an exchange market consisting of two populations of agents (dealers and speculators) expressing the same preferences for two goods, but applying...
View ArticleConvergence of utility indifference prices to the superreplication price in a...
This paper formulates an utility indifference pricing model for investors trading in a discrete time financial market under non-dominated model uncertainty. The investors preferences are described by...
View ArticleMarket Delay and G--expectations. (arXiv:1709.09442v1 [q-fin.MF])
We study super-replication of contingent claims in markets with delay. This can be viewed as a stochastic target problem with delayed filtration. First, we establish a duality result for this setup....
View ArticleA default system with overspilling contagion. (arXiv:1709.09255v1 [q-fin.MF])
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that the environment...
View ArticleSome No-Arbitrage Rules For Converging Asset Prices under Short-Sales...
Under short sales prohibitions, no free lunch with vanishing risk (NFLVR-S) is known to be equivalent to the existence of an equivalent supermartingale measure for the price processes (Pulido [22])....
View ArticleAICPA Audit and Accounting Guide State and Local Governments
With all the recent changes in state and local government audit and accounting, including changes to some of the more complex areas such as pensions and postemployment benefits other than pensions...
View ArticleCreative Courage: Leveraging Imagination, Collaboration, and Innovation to...
Creative Courage challenges you to step outside of your comfort zone and truly make an impact. Set aside the same old routine and break the status quo—because you can only rise to new heights if you...
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G2: Building the Next Generation
Vital guidance to ensuring the future of your firmread more...
View ArticleEnterprise Knowledge Capital
Thoroughly grounded in an extensive body of international research and analysis, this book investigates the concepts surrounding a firm’s knowledge capital. These concepts play an integral part in the...
View ArticleScarcity of CEO Talent? Are Board Members Right?
Joann Lublin of the Wall Street Journal reports today on directors' beliefs about the CEO talent pool. She writes:The pool of executives qualified to take over the top job at the biggest U.S. companies...
View ArticleA General Framework for Portfolio Theory. Part I: theory and various models....
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a...
View ArticleComputational Analysis of the structural properties of Economic and Financial...
In recent years, methods from network science are gaining rapidly interest in economics and finance. A reason for this is that in a globalized world the interconnectedness among economic and financial...
View ArticleUtility maximization problem under transaction costs: optimal dual processes...
This paper discusses the num\'eraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her position in stock at...
View ArticleStochastic Gradient Descent in Continuous Time: A Central Limit Theorem....
Stochastic gradient descent in continuous time (SGDCT) provides a computationally efficient method for the statistical learning of continuous-time models, which are widely used in science, engineering,...
View ArticleInterest rates and house prices in the United States and around the world
This paper estimates the response of house prices to changes in short- and long-term interest rates in 47 advanced and emerging market economies. We use data that statistical authorities selected as...
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