The multiple applications matching function derived in Albrecht, Gautier, Tan and Vroman (2004) involves terms which are very “convoluted”. This letter proposes an alternative more concise function, derived using applicant types as the source of randomness rather than the resulting...

Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation has created markets that help assign an objective value to existing and new to build storages. Storage valuation is nevertheless a challenging task if we consider both the financial and physical...

The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. While this is a well-discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this paper we are concerned with describing the joint return...

This paper develops a model of directed-search where workers’ preference for a higher wage is explicitly modelled into their application strategy. In a general setting where jobs offer non-uniform wages and different probabilities of a job offer, the optimal strategy for selecting the set of...

This paper conducts a systematic investigation into the correlation between the default rate and three definitions of the recovery rate: price recoveries, settlement recoveries and discounted settlement recoveries. The data suggests a strong linear correlation for price recoveries and a weak one...

In complete markets economies (Sandroni [15]), or in economies with Pareto optimal outcomes (Blume and Easley [9]), the market selection hypothesis holds, as long as traders have identical discount factors. Traders who survive must have beliefs that merge with the truth. We show that in...

We employ the Schwartz and Smith (2000) model to explore the dynamics of the UK gas markets. We discuss in detail the short-term and long-term market prices of risk borne by the market players and how deviations from expected cyclical storage affect the short-term market price of risk. Finally,...

This paper describes an approach that accommodates in a coherent way three types of uncertainty when measuring the output gap. These are trend uncertainty (associated with the choice of model and de-trending technique), estimation uncertainty (with a given model) and data uncertainty (associated...

This paper analyses the optimal wage contract when firms face demand uncertainty and workers care about employment stability. Workers choose the firm that offers the highest utility taking into account the future lay-off probabilities; firms choose the wage contract that maximises the residual...