We present a dynamic model of venture capital financing, described as a sequential investment problem with uncertain outcome. Each venture has a critical, but unknown threshold beyond which it cannot progress. If the threshold is reached before the completion of the project, then the project...

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

A model of price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the efficient price and a Bernoulli process that determines the extent of flat price trading. A limit...

A new methodology is proposed to estimate theoretical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is...

In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...

The Multifractal Model of Asset Returns (See lt;a HREF=http://papers.ssrn.com/paper.taf?abstract_id=78588gt;Mandelbrot, Fisher, and Calvet, 1997lt;/Agt; ) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a...

This paper presents the first empirical investigation of the Multifractal Model of Asset Returns (quot;MMARquot;). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997) (See Mandelbrot, Fisher, and Calvet, 1997 at the following URL: http://papers.ssrn.com/paper.taf?abstract_id=78588 ), is...

This paper presents the quot;multifractal model of asset returnsquot; (quot;MMARquot;), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two elements of Mandelbrot's past research that are now well known in finance....

We study how the outcomes of a private-value first price auction can vary with bidders' information, for a fixed distribution of private values. In a two bidder, two value, setting, we characterize all combinations of bidder surplus and revenue that can arise, and identify the information...