The aim of this paper is to propose a numerical method to price the Chicago Board of Trade Treasury-bond futures. This contract is one of the most traded in the world, largely because of its ability to hedge long term interest rate risk. The difficulty to price it arises from its multiple...

One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite time, but also to fulfill constraints (known as viability) until this time. Within the framework of finance, in the case of replicating portfolios, the target is defined by the...

This paper investigates whether insiders use private information in their decision to exercise executive stock options. Consistent with existing research, exercises overall do not yield subsequent abnormal returns. Categorising exercises by the proportion of stock sold at exercise yields a...

Within the context of an agent-based model, model selection by the economic agents is introduced and investigated. To achieve this, a specific agent, the “economic research instituteâ€, is set up and produces regular forecasts of the economy which are published to the economic agents....

We propose the use of a classical tool in PDE theory, the parametrix method, to build approximate solutions to generic parabolic models for pricing and hedging contingent claims. We obtain an expansion for the price of an option using as starting point the classical Black and Scholes formula....

We investigate possible determinants of the increase of household debt and smaller consumption fluctuations since the 1980s in the US. We use a heterogeneous-agent model, in which labor income is risky and markets are incomplete. Consumers use durables not only as collateral for their debt but...

This paper studies the implications of labor taxation in determining the sensitivity of an economy to macroeconomic shocks. We construct a New Keynesian business cycle model with matching frictions of the labor market, where sluggish employment adjustment implies a key role for labor markets in...

This paper investigates the implications of the addition of differential population dynamics to a simple 2x2x2 model of international trade within an overlapping-generations (OLG) framework, by assuming that one of the trading partners has the power to set the terms of trade (i.e., is large) at...

This paper re-considers the empirical relevance of the Lucas critique using a sticky price model in which a weak central bank response to inflation generates equilibrium indeterminacy. The model is calibrated on the magnitude of the historical shift in the Fed's policy rule and is capable of...

The focus in this paper is on the time series dynamics of the basis for commodity futures. These have special interest since regulation of commodity markets is much laxer than is typical for stock markets. However, although such futures contracts have been traded for several decades, they have...