We develop a simple robust test for the presence of continuous and discontinuous (jump) components in the price of an asset underlying an option. Our test examines the prices of at-the-money and out-of-the-money options as the option maturity approaches zero. We show that these prices converge...

Much research has investigated the differences between option implied volatilities and econometric model-based forecasts. Implied volatility is a market determined forecast, in contrast to model-based forecasts that employ some degree of smoothing of past volatility to generate forecasts....

We embed a structural model of credit risk inside a dynamic continuous-time consumption-based asset pricing model, which allows us to price equity and corporate debt in a unified framework. Our key economic assumptions are that the first and second moments of earnings and consumption growth...

Includes descriptive metadata provided by producer in QuickTime movie file: "Politics, Economics and Social Issues - Video - Paul Volcker talks about the economic crisis." By Vanderbilt University. Paul A. Volcker, senior economic advisor to President Obama and former chairman of the Federal...

Opportunity for group study by graduate students on current topics related to management not otherwise included in curriculum. From the course home page: Course Description This is a course on how corporations make use of the insights and tools of risk management. Most courses on derivatives,...

The extent to which service quality is linked to satisfaction, value and behavioural outcomes continues to be debated in the literature. This research investigated two models involving the linkages between service quality, satisfaction, perceived value, repurchase intention and willingness to...