develop a theory of the mechanism, provide empirical evidence, evaluate the ability of the quantitative theory to match the …

Textbook theory assumes that firm managers maximize the net present value of future cash flows. But when you ask them …

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks … the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of S&P 500 futures …

comparable to that of returns in stock markets. Evidence is shown that there may be only minimal possibility of cross hedging … examined. Such markets, by allowing hedging of these aggregate income risks, might make for dramatically more effective …

Recent advances in financial theory have created an understanding of the environments in which a real security can be … volatility associated with current dynamic hedging strategies. There will thus be less information transmitted to those people … trades implied by the dynamic hedging strategies, In effect, the stocks' future price volatility can rise because of a …

All of asset-pricing theory currently stems from one key assumption: price equals expected discounted payoff. And much …

trading is costly, but only for agents with myopic utility. Non-myopic agents benefit from hedging against future shocks to … hedging demands of a long-horizon investor using a set of simplified examples, and using a daily trading strategy based on the …