Dividends with random profitability rate. (arXiv:1706.01813v1 [math.OC])
We study an optimal dividend problem under a bankruptcy constraint where firms face a trade-off between potential bankruptcy and extraction of owner profits. In contrast to previous works, more general...
View ArticleEconophysics of Macro-Finance: Local Multi-fluid Models and Surface-like...
This paper models macro financial variables alike to financial fluids with local interactions and describes surface-like waves of Investment and Profits. We regard macro-finance as ensemble of economic...
View ArticleA predictive pan-European economic and production dispatch model for the...
The energy transition is well underway in most European countries. It has a growing impact on electric power systems as it dramatically modifies the way electricity is produced. To ensure a safe and...
View ArticlePricing Asian options for NIG and VG Levy markets. (arXiv:1706.01562v1...
In this work, we study the value of an Asian option in the case of exponential Levy markets. More specifically, we are interested in the NIG (normal inverse Gaussian) the VG (variance gamma) models....
View ArticleHedging in fractional Black-Scholes model with transaction costs....
We consider conditional-mean hedging in a fractional Black-Scholes pricing model in the presence of proportional transaction costs. We develop an explicit formula for the conditional-mean hedging...
View ArticleClik here to view.
The effects of monetary policy shocks on inequality in Japan
The impacts of monetary easing on inequality have been attracting increasing attention recently. In this paper, we use the micro-level data on Japanese households to study the distributional effects of...
View ArticleITG Releases May 2017 U.S. Trading Volume
NEW YORK, June 07, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced that May 2017 U.S. trading volume was 3.2 billion shares and...
View ArticleInnovating Around the Box
Knowledge@Wharton reports on a new book by Wharton Professor David Robertson. (The Power of Little Ideas). Â In the author interview, Robertson describes his focus on innovation associated with...
View ArticleRules on combating money laundering and terrorist financing in correspondent...
Press release about the Basel Committee clarifying rules on combating money laundering and terrorist financing in correspondent banking (7 June 2017).
View ArticleSound management of risks related to money laundering and financing of...
The Basel Committee is publishing the "Sound management of risks related to money laundering and financing of terrorism: revisions to correspondent banking annex - final document" report, June 2017.
View ArticleGeneral Equilibrium Trade Modelling with Canada-US Transportation Costs -- by...
Transportation costs are an important topic in international trade, but seldom have researches paid attention to general equilibrium trade modelling with transportation costs and explored their...
View ArticleKinship Systems, Cooperation and the Evolution of Culture -- by Benjamin Enke
Cultural psychologists and anthropologists argue that societies have developed heterogeneous systems of social organization to cope with social dilemmas, and that an entire bundle of cultural...
View ArticleThe Economic and Social Outcomes of Refugees in the United States: Evidence...
Using data from the 2010-2014 American Community Survey, we use a procedure suggested by Capps et al. (2015) to identify refugees from the larger group of immigrants to examine the outcomes of refugees...
View ArticleEstimating the Impact of Crop Diversity on Agricultural Productivity in South...
Crop biodiversity has the potential to enhance resistance to strains due to biotic and abiotic factors and to improve crop production and farm revenues. To investigate the effect of crop biodiversity...
View ArticleWillingness to Pay for Low Water Footprint Food Choices During Drought -- by...
In the context of recent California drought years, we investigate empirically whether consumers are willing to pay for more efficient water usage in the production of four California agricultural...
View ArticleWhen Inequality Matters for Macro and Macro Matters for Inequality -- by...
We develop an efficient and easy-to-use computational method for solving a wide class of general equilibrium heterogeneous agent models with aggregate shocks, together with an open source suite of...
View ArticleCorporate Liquidity, Acquisitions, and Macroeconomic Conditions -- by Isil...
Firms hold liquid assets to enhance their ability to invest efficiently when external financing costs are high, especially during poor macroeconomic conditions. Using a sample of 47,378 acquisitions...
View ArticleThe Value of Mandating Maternal Education in a Developing Country -- by...
While several studies estimate the impact of maternal education on birth weight and child mortality using quasi-experimental identification strategies in developing countries, the state of the...
View Article