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his paper presents two sets of conditions under which a sole owner of a renewable
resource stock who maximizes a nonlinear benefit function would find it more profitable to
harvest the stock to exti...
A NOTE ON PAYMENTS IN THE LAB FOR INFINITE HORIZON DYNAMIC GAMES WITH DISCOUNTING
Payment in experiments Experimental economics
2015/7/15
We also establish that a simple payment scheme, paying participants for the last (randomly occurring)
round, robustly implements the predicted outcomes for any infinite horizon dynamic game wit...
The objective of the session is to discuss the role of separate financial statements
and the challenges that arise in practice to those who use separate financial
statements.
A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Asymptotic exponential arbitrage large deviations continuous semimartingale model.
2012/9/14
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...
A note on super-hedging for investor-producers
arbitrage pricing theory markets with proportional transaction costs non-linear returns super replication theorem
2012/3/2
We study the situation of an agent who can trade on a financial market and can also transform some assets into others by means of a production system, in order to price and hedge derivatives on produc...
Outdoor recreation has become an important element of economy. Determination of the value of outdoor recreation to ensure more efficient allocation of resources is becoming an increasingly critical pr...
CENTRAL BANK INDEPENDENCE AND INFLATION: A NOTE
CENTRAL banks & banking BANKING industry FOREIGN exchange CIRCULAR velocity of money
2011/10/3
We document increased central bank independence within the set of industrialized nations. This increased independence can account for nearly two-thirds of the improved inflation performance of these n...
Archival Note Banking History and Archives in Latin America
overview the key aspects banking history Latin America managerial and organizational structures
2011/9/28
The article presents an overview of the key aspects of banking history in Latin America. According to the author, banks are among the oldest operating enterprises in the country. Starting in the ninet...
AN EMPIRICAL NOTE ON THE ELASTICITY OF SUBSTITUTION BETWEEN LAND AND CAPITAL IN A MONOCENTRIC HOUSING MARKET
substitution production function marginal cost elasticity of substitution
2011/9/17
Examines the model for the estimation of elasticity of substitution based on the constant elasticity of substitution production function. Change in the intensity of land use; Determination of the marg...
AN EMPIRICAL NOTE ON THE ELASTICITY OF SUBSTITUTION BETWEEN LAND AND CAPITAL IN A MONOCENTRIC HOUSING MARKET
constant elasticity substitution production function marginal cost
2011/9/17
Examines the model for the estimation of elasticity of substitution based on the constant elasticity of substitution production function. Change in the intensity of land use; Determination of the marg...
AN EMPIRICAL NOTE ON THE ELASTICITY OF SUBSTITUTION BETWEEN LAND AND CAPITAL IN A
elasticity of substitution production function marginal cost
2011/9/13
Examines the model for the estimation of elasticity of substitution based on the constant elasticity of substitution production function. Change in the intensity of land use; Determination of the marg...
This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to gr...
A Note on Delta Hedging in Markets with Jumps
Delta hedging exact replication martingale representation Black–Merton–Scholes model models with jumps
2011/3/30
Modelling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from the...
A Note on the Stability of the Least Squares Monte Carlo
option pricing optimal stopping American option Least Squares Monte Carlo Monte Carlo methods Ill-Conditioning
2011/3/23
This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection of th...
A Cautious Note on the Design of Volatility Derivatives
3/2 volatility model variance swap num´ eraire portfolio
2010/10/21
This cautious note aims to point at the potential risks for the financial system caused by various increasingly popular volatility derivatives including variance swaps on futures of equity indices. It...