This paper considers the introduction of stock options in an (dynamically) incomplete securities market made up of a riskless bond and the stock. The stock price follows a geometric Brownian motion with constant drift. However, there is incomplete information about the unknown stochastic...

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently steered the financial services industry to collateral loan obligations (CLOs) as an important balance sheet management tool. CLOs represent a specialised form of Asset-Backed Securitisation (ABS), with...

When a spot market monopolist has a position in a corresponding futures market, he has an incentive to deviate from the spot market optimum to make this position more profitable. Rational futures market makers take this into account when setting prices. We show that the monopolist, by...

We present a comprehensive theory of large non-anonymous games in which agents have a name and a determinate social-type and/or biological trait to resolve the dissonance of a (matching-pennies type) game with an exact pure-strategy Nash equilibrium with finite agents, but without one when...

The theory of large one-shot simultaneous-play games with a biosocial typology has been presented in both the individualized and distributionalized forms-large individualized games (LIG) and large distributionalized games (LDG), respectively. Using an example of an LDG with two actions and a...

Protection buyers use derivatives to share risk with protection sellers, whose assets are only imperfectly pledgeable because of moral hazard. To mitigate moral hazard, privately optimal derivative contracts involve variation margins. When margins are called, protection sellers must liquidate...

Bedingte Aktiengeschäfte sind solche, die nur bei Eintritt einer Bedingung wirksam werden, z. B. bei einer Übernahme oder der Wahl eines bestimmten Vorstandsvorsitzenden. Damit lassen sich Alternativen bewerten und Entscheidungen besser treffen.

We explain why central counterparties (CCPs) emerged historically. With standardized contracts, it is optimal to insure counterparty risk by clearing those contracts through a CCP that uses novation and mutualization. As netting is not essential for these services, it does not explain why CCPs...

In this paper we examine the effects of media coverage of commodity prices increases and decreases on the price of the commodity and how media coverage in other commodities affects prices. We provide evidence of the relationship between media coverage and its intensity to the price level of...

This paper determines the cost of employee stock options (ESOs) to shareholders. I present a pricing method that seeks to replicate the empirics of exercise and cancellation as good as possible. In a first step, an intensity-based pricing model of El Karoui and Martellini is adapted to the needs...