This paper proposes a general approximation method for the solution to a second-order parabolic partial differential equation(PDE) widely used in finance through an extension of Léeandre's approach(Léandre (2006,2008)) and the Bismut identiy(e.g. chapter IX-7 of Malliavin (1997))] in Malliavin...

This paper presents a new asymptotic expansion method for pricing continuously monitoring barrier options. In particular, we develops a semi-group expansion scheme for the Cauchy-Dirichlet problem in the second-order parabolic partial differential equations (PDEs) arising in barrier option...

In this work, we apply our newly proposed perturbative expansion technique to a quadratic growth FBSDE appearing in an incomplete market with stochastic volatility that is not perfectly hedgeable. By combining standard asymptotic expansion technique for the underlying volatility process, we...

We propose a computationally feasible inference method infinite games of complete information. Galichon and Henry (2011) and Beresteanu, Molchanov, and Molinari (2011) show that such models are equivalent to a collection of moment inequalities that increases exponentially with the number of...

We derive the empirical content of an instrumental variables model of sectorial choice with binary outcomes. Assumptions on selection include the simple, extended and generalized Roy models. The derived bounds are nonparametric intersection bounds and are simple enough to lend themselves to...

We consider an axiomatic characterization of the plurality rule, which selects the alternative(s) most preferred by the largest number of individuals. We strengthen the characterization result of Yeh (Economic Theory 34: 575{583, 2008) by replacing <em> effciency</em> axiom by the weaker axiom called...</em>

The empirical best linear unbiased predictor (EBLUP) in the linear mixed model (LMM) is useful for the small area estimation in the sense of increasing the precision of estimation of small area means. However, one potential difficulty of EBLUP is that when aggregated, the overall estimate for a...

The national treatment obligation, along with the most favored nation obligation, is an important principle of non-discrimination adopted by theWorld Trade Organization. It requires that foreign products be treated no less favorably than national products. This paper empirically examines the...

In place of the standard search equilibrium, this paper presents an alternative concept of stochastic macro-equilibrium based on the principle of statistical physics. This concept of equilibrium is motivated by unspecifiable differences of economic agents and the presence of all kinds of micro...

In the forthcoming ISDA Standard Credit Support Annex (SCSA), the trades denominated in non-G5 currencies as well as those include multiple currencies are expected to be allocated to the USD silo, where the contracts are collateralized by USD cash, or a different currency with an appropriate...