Using the real options and game theory, the paper studies the timing and pricing for IPOs. The motivation of IPOs can be divided into three categories: Financing, Merger and Acquisitions, and Investment from financial viewpoint. Four kinds of closed solutions of optimal timings and equilibrium...

This paper proposes a new method for estimating continuous-time stochastic volatility (SV) models for the S&P 500 stock index process using intraday high-frequency observations of both the S&P 500 index and the Chicago Board Options Exchange (CBOE) implied (or expected) volatility index (VIX)....

Avian flu has been the focus of significant attention since 2004, when there were reports of human infections in Asia from the avian flu H5N1 strain. To prevent the catastrophic mortality of mankind, several governments are stockpiling antivirals and pharmaceutical firms are increasing their...

Pricing and risk management for longevity risk has increasingly become a major challenge for life insurers and pension funds around the world. Risk transfer to financial markets, with their major capacity for efficient risk pooling, is an area of significant development for a successful...

This project explores capital markets risk exposure from water use in key industrial sectors in the Great Lakes region, represented by a subset of the region's largest companies and water users. The largest industrial water users in the Great Lakes region include (in decreasing order):...

This paper questions the conventional contrast between flows of "bad cholesterol", represented by short-term debt, and flows of "good cholesterol", represented by longer-term foreign direct investment. The findings suggest that high levels of FDI are not, in fact, a sign of economic good health....

Should employers pay their employees better? Although this question might appear provoking because lowering production costs remains a cornerstone of the contemporary economy, we present new evidence highlighting the benefits a company might reap by paying its employees better. We introduce an...

We test the performance of popular option strategies in the Nordic power derivative market using 12 years of data. We find that protective put strategies outperform long forward and covered call strategies on risk-adjusted basis, because the payoff function of the protective put seems a good fit...

We find that informed trading in the option market prior to dividend initiation is negatively related to announcement period price reactions. This relation is more prevalent among firms with abnormal trading in call options, higher stock price runup, and higher option liquidity. We also find...

This research studies determinants of silver futures price volatility in Thailand Futures Exchange using generalized autoregressive conditional heteroskedasticity model. The sample data consist of daily closing price, volume, and open interest of silver futures from the period June 21, 2011 to...