Zobrazeno 1 - 10
of 119
pro vyhledávání: '"91G50"'
Autor:
Ng, Hunter
This article investigates whether the Federal Reserve Chair strategically controls facial expressions during FOMC press conferences and how these nonverbal cues affect financial markets. I use facial recognition technology on videos of press conferen
Externí odkaz:
http://arxiv.org/abs/2410.20214
The literature of damages-assessment under the US disclosure 10b-5 rule proposes multiple formulations for a "proper measure" based on the legal "out-of-pocket" principle, i.e. the difference between original and an observed later price consequent on
Externí odkaz:
http://arxiv.org/abs/2410.13878
Autor:
Moehr, Christoph
This paper sets out a framework for the valuation of insurance liabilities that is intended to be economically realistic, elementary, reasonably practically applicable, and as a special case to provide a basis for the valuation in regulatory solvency
Externí odkaz:
http://arxiv.org/abs/2401.00263
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by the arrival times of a Poisson process. Concurrently, risk control is
Externí odkaz:
http://arxiv.org/abs/2312.17131
We construct Nash equilibria in feedback form for a class of two-person stochastic games of singular control with absorption, arising from a stylized model for corporate finance. More precisely, the paper focusses on a strategic dynamic game in which
Externí odkaz:
http://arxiv.org/abs/2312.07703
Autor:
Naoaj, Md Shah, Hosen, Mir Md Moyazzem
This paper assesses whether the higher capital maintenance drives up banks cost of equity. We investigate the hypothesis using fixed effect panel estimation with the data from a sample of 28 publicly listed commercial banks over the 2013 to 2019 peri
Externí odkaz:
http://arxiv.org/abs/2302.02762
In a continuous-time setting we investigate how the management of a firm controls a dynamic choice between two generic voluntary disclosure decision rules: one with full and transparent disclosure termed $\it{candid}$, the other, termed $\it{sparing}
Externí odkaz:
http://arxiv.org/abs/2210.11315
Motivated by a new formulation of the classical dividend problem, we show that Peskir's maximality principle can be transferred to singular stochastic control problems with 2-dimensional degenerate dynamics and absorption along the diagonal of the st
Externí odkaz:
http://arxiv.org/abs/2206.11534
Publikováno v:
Quantitative Finance 20.6 (2020): 899-918
We present new numerical schemes for pricing perpetual Bermudan and American options as well as $\alpha$-quantile options. This includes a new direct calculation of the optimal exercise barrier for early-exercise options. Our approach is based on the
Externí odkaz:
http://arxiv.org/abs/2106.06030
Publikováno v:
Decisions in Economics and Finance 44 (2021)
In this paper we propose and solve a real options model for the optimal adoption of an electric vehicle. A policymaker promotes the abeyance of fossil-fueled vehicles through an incentive, and the representative fossil-fueled vehicle's owner decides
Externí odkaz:
http://arxiv.org/abs/2012.09493