The Investment Advisors Act of 1940 (as amended in 1970) prohibits mutual funds in the US from offering their advisers asymmetric incentive fee' contracts in which the advisers are rewarded for superior performance via-a-vis a chosen index but are not correspondingly penalized for...

This paper develops a model for the pricing of credit derivatives using observables. The model (i) is arbitrage-free, (ii) accommodates path-dependence, and (iii) handles a range of securities, even with American features. The computer implementation uses a recursive scheme that is convenient...

This review paper describes basic auction concepts, and provides a summary of the theory in this area, particularly as it relates to Treasury auctions.

We offer an alternative framework for the analysis of mutual funds and use it to examine the rationale behind existing regulations that require mutual fund advisor fees to be of the fulcrum' variety. We find little justification for the regulations. Indeed, we find that asymmetric incentive...

Empirical anamolies in the Black-Scholes model have been widely documented in the Finance literature. Pattern in these anamolies (for instance, the behavior of the volatility smile or of unconditional returns at different maturities) have also been widely documented. Theoretical efforts in the...

We offer an alternative framework for the analysis of mutual funds and use it to examine the rationale behind existing regulations that require mutual fund adviser fees to be of the quot;fulcrumquot; variety. We find little justification for the regulations. Indeed, we find that asymmetric...

Empirical anamolies in the Black-Scholes model have been widely documented in the Finance literature. Patterns in these anamolies (for instance, the behavior of the volatility smile or of unconditional returns at different maturities) have also been widely documented. Theoretical efforts in the...

The Investment Advisers Act of 1940 (as amended in 1970) prohibits mutual funds in the US from offering their advisers asymmetric quot;incentive feequot; contracts in which the advises are rewarded for superior performance via-a-vis a chosen index but are not correspondingly penalized for...