In the dual model, the surplus of a company is a Levy process with sample paths that are skip-free downwards. In this paper, the aggregate gains process is the sum of a shifted compound Poisson process and an independent Wiener process. By means of Laplace transforms, it is shown how the...

This research investigated Social impact investment (SII), which aims to generate and actively measure social and financial returns. There are several promising SII models—including housing supply bonds, property funds, funding social enterprises, social impact bonds and social impact loans....

This paper solves the dynamic investment problem of a risk averse agent compensated with a performance related bonus plus a salary guaranteed up to a certain level of underperformance. The main contribution is to explicitly take into account the financial fragility of the principal [employer],...

We examine the role of non-venture private equity firms in the market for divested businesses, comparing targets bought by such firms to those bought by corporate acquirers. We argue that a combination of vigilant monitoring, high-powered incentives, patient capital and business independence...

The significant excess of the price of risk, research question in the version paper, [S. Chule, in Applied Mathematical Finance, submitted June 2016], is space-domain form re-evaluated into the stochastic problem objective of the premium risk. The adapts of the conventional generic replication...

This paper examines at-the-market (ATM) equity programs as an additional source of financial flexibility. We find that firms with higher market-to-book ratios and greater institutional ownership are more likely to announce an ATM program. Firms using ATM programs are also more likely to issue...

In this paper, using an original database of investors operating on the French stock market, we investigate the real effect of ownership structure. We call fundamental investor an investor who, on average, holds on average his shares for at least two years, is in the top quartile of a firm...

We study the impact of evaluating the performance of asset managers relative to a benchmark portfolio on firms' investment, merger and IPO decisions. We introduce asset managers into an otherwise standard asset pricing model and show that firms that are part of the benchmark are effectively...

Leveraged buyouts allow for a separate identification of sponsor reputation and underlying firm quality and their effects on capital structure choices. In 616 U.S. LBOs for which we can reconstruct financing activity, we find that the average LBO issues an average of 1.16 additional debt...

We propose a unified dynamic framework to study the economics of the supply side of bitcoin mining, such as endogenous transaction fees, the miners' liquidation policies, and endogenous inventory holdings, in the face of declining system block rewards and stochastic demand. The model yields two...