Pricing high dimensional American options is a difficult problem in mathematical finance. Many simulation methods have been proposed, but Monte Carlo is numerically intensive, and therefore slow. We derive an analytic expression for a new type of multi-asset barrier option using Laplace...

This paper provides methods for carrying out likelihood based inference for diffusion driven models, for example discretely observed multivariate diffusions, continuous time stochastic volatility models and counting process models. The diffusions can potentially be non-stationary. Although our...

It is received financial wisdom that when there is free entry by speculators, it is impossible to generate net profits on publicly available information. In this paper we study a version of the standard Kyle (85) model with endogenous information acquisition and we find that equilibria exist...

This paper contains a General Equilibrium model of an economy with Incomplete Markets (GEI) with money and default. The model is a simplified version of the real world consisting of a non-bank private sector, banks, a Central Bank, a government and a regulator. The model is used to analyse...

This paper first extends the canonical General Equilibrium with Incomplete Markets (GEI) model with money and default to allow for competitive banking and financial instability. Second, it introduces capital requirements for the banking sector to assess the short and medium term macroeconomic...

In human capital intensive industries where it is difficult to contract upon the training effort of skilled agents a socially suboptimal level of training may occur. We show how partnership organisations can overcome this problem by tying human and financial capital. Partnerships are opaque so...

We consider the pricing of a range of volatility derivatives, including volatility and variance swaps. Under risk-neutral valuation we provide closed form formulae for volatility-average and variance swaps for a variety of diffusion and jump-diffusion models for volatility. We describe a general...

This paper addresses the problem of estimating the aggregate international demand schedule for emerging market (EM) securities as an asset class. The standard ‘push-pull’ model of capital flows is modified by reference to recent work on portfolio choice in the context of credit...

In the framework of stochastic volatility models we examine estimators for the integrated volatility based on the p-th power variation,i.e. the sum of p-th absolute powers of the log-returns. We derive consistency and distributional results for the estimators given high frequency data,...

In contrast to practice in the U.S., European IPOs are very rarely priced outside the indicative price range, and frequently are priced at its upper bound. We develop a model that provides a rationale for this seemingly inefficient pricing behaviour. The model allows for the practice, observed...