Using stochastic modelling, we demonstrate that the best investment strategy for the accumulation phase of a defined contribution pension plan is one...
The reinsurance market is the secondary market for insurance risks. It has a very specific organization. Direct insurers do not trade risks with each...
The structure of securitization deals, referred to as "tranching", is standard. In those transactions, claims on cash flows generated by the...
Meltzer (2001b) argues that the current trend for downgrading the role of money in standard macro models is erroneous as it masks those monetary...
Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common method for this purpose, though...
We consider the choices available to a defined contribution (DC) pension plan member at the time of retirement for conversion of his pension fund into...
The Myners Report will have a number of significant consequences for pension fund management and performance measurement in the UK.
It changes the...
Liquidity, defined as the ease with which an asset may be marketed, has a self-fulfilling dimension. If investors in the primary market for a new...
This paper constructs a time series of annuity rates in the UK for 1957-2002, and examines the pricing of UK annuities, and the relationship between...
This paper studies predatory trading: trading that induces and/or exploits other investors' need to reduce their positions. We show that if one trader...
It has been suggested (Morris, Shin 2001) that co-ordination failure between holders of debt can affect the price of debt. In essence, fear of...
We develop a structural model of an industry with many entrepreneurial firms in order to investigate the cyclical behaviour of aggregate fixed...
This paper contains a general equilibrium model of an economy with incomplete markets (GEI) with money and default. The model is a simplified version...
We apply a sector-based approach to companies going public in the six largest Continental European markets and Sweden during a period characterized by...
We perform a comparative country-by-country study of companies going public in the six largest Continental European markets and Sweden during 1988 and...
We study the relationship between management behaviour and the subsequent market response in the German IPO market. When applying two forms for...
