Employee stock options (ESOs) are a popular way of remunerating employees. We analyse factors at the firm and option level affecting the employee's decision to exercise ESOs before they mature. Exercises over the period 1998-2004 are analysed and the key factor influencing early exercise is...

Accounting standards require companies to assess the fair value of any stock options granted to executives and employees. We develop a model for accurately valuing executive and employee stock options, focusing on performance hurdles, early exercise and uncertain volatility. We apply the model...

Can an understanding of mood help us understand aspects of systematic risk, volume and portfolios' exposure to systematic risk during bear-market regimes? We hypothesize that bear markets are associated with negative emotions: either a low-arousal negative state (e.g. sadness and depression) or...

The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now almost routinely used in a wide range of situations, often...

This paper studies the valuation of American options in the presence of external/non-hedgeable event risk. When the event occurs, the American option is terminated and a rebate is paid instead of the promised pay-off profile. Consequently, the presence of event risk influences the exercise...

This paper proposes two related approximation schemes, based on a discrete grid on a finite time interval [0,T], and having a finite number of states, for a pure jump Lévy process Lt. The sequences of discrete processes converge to the original process, as the time interval becomes finer and...

We derive and estimate a copula combining the features of the Frank and Gumbel copulas to analyse the relationship between equity and long-term bond returns. Our analysis of quarterly returns from 1952 to 2003 finds that, in general, there is a positive relationship between equity returns and...

Invasive species pose an enormous threat in the Pacific: not only do they strongly affect biodiversity, but they also potentially affect the economic, social, and cultural wellbeing of Pacific peoples. Invasive species can potentially be managed and their impacts can potentially be avoided,...