Discussion Papers

The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath/Jarrow/Morton-framework is used to...

When the monetary authorities wish to target the value of a foreign currency, they may coordinate their intervention in the money and foreign exchange...

This paper documents the delayed adoption of a major technological innovation: the adoption of the diesel locomotive in the US railway industry...

This paper defines a lower bound on the fixed cost that is required for observations on consumption choices to be consistent with data on asset...

This paper examines how managers may be given incentives to exert effort, and to implement efficient implicit contracts with workers. Under certain...

There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the future market, the greater...

The London Stock Exchange has long been concerned that some market makers are not fulfilling their obligations. This study describes a range of tests...

This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5...

This paper aims at developing a model of reputation acquisition by the insurer-regulator, in an incompletely informed banking system. Reputation...

This paper examines the incidence of nonresident interest withholding taxes in the international 3-month Treasury-bill market and the international 5...

Accurate prediction of extreme events are of primary importance in many financial applications. The properties of historical simulation and...

Accurate prediction of extreme events are of primary importance in many financial ap-plications. The properties of historical simulation and...

In this paper we present a model of the development of the term structure of defaultable interest rates that is based on a multiple-defaults model...

The assumption of perfect capital markets is least likely to be satisfied for the class of firms which devote resources towards the development of...

In a model that exhibits both moral hazard and hidden information on the part of the manager different remuneration schemes are discussed and the...

We study the effect of predictability of an asset's return on the prices of options on that asset, for models in which returns are serially...