We present a fast and accurate FFT-based method of computing the prices and sensitivities of barrier options and first-touch digital options on stocks whose log-price follows a Lévy process. The numerical results obtained via our approach are demonstrated to be in good agreement with the...

We contrast structural and reduced form empirical studies in environmental and resource economics. Both methodologies have their own context-specific advantages and disadvantages, and should be viewed as complements, not substitutes. Structural models typically require a theoretical model and...

In this paper we expand the Rachev–Rüschendorf asset-pricing model introducing a coupled continuous-time-random-walk-(CTRW)-like form of the random number of price changes. Such a form results from the concept of the random clustering procedure (that resembles the coarse-graining methods of...

We provide necessary and sufficient conditions for a dynamically consistent agent always to prefer more informative signals (in single-agent problems). These conditions do not imply recursivity, reduction or independence. We provide a simple definition of dynamically consistent behavior, and we...

In recent years, there has been increasing interest in nonparametric bootstrap inference for economic time series. Nonparametric resampling techniques help protect against overly optimistic inference in time series models of unknown structure. They are particularly useful for evaluating the fit...

We consider a principal-agent model of adverse selection where, in order to trade with the principal, the agent must undertake a relationship-specific investment which affects his outside option to trade, i.e. the payoff that he can obtain by trading with an alternative principal. This creates a...

Regular case-control sampling is an extremely common design used to generate data to estimate effects of exposures or treatments on a binary outcome of interest when the proportion of cases (i.e., binary outcome equal to 1) in the population of interest is low. Case-control sampling represents a...