The aim of this paper is to investigate the pricing of the Chicago Board of Trade (CBOT) Treasury-Bond futures. The difficulty in pricing it arises from its multiple inter-dependent embedded delivery options, which can be exercised at various times and dates during the delivery month. We...

The conversion factor system (CFS) is used in the determination of the invoice price of the Chicago Board of Trade Treasury-bond futures. As an alternative to the CFS, Oviedo [Oviedo, R.A., 2006. Improving the design of Treasury-Bond futures contracts. The Journal of Business 79, 1293-1315]...

This paper studies the informational content of elective teams in a dynamic agency framework with adverse selection. Two agents with different employment histories are paid their conditional expected marginal product. They observe their types (good or bad), and chooose between working together...

This paper studies the informational content of elective teams in a dynamic principal/multiple-agents framework with adverse selection. Two agents with different employment histories are paid their conditional expected marginal product. They observe their types (good or bad), and choose between...

Team production analysis are usually carried in static frameworks where employees choose neither their teammates nor between working in a team or by themselves. This hypothesis does not reflect certain work environments. For example, academics are seldom forced to work as a team. They usually...

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel [18]. We characterize the set of equilibria for this delegated portfolio management game and show that there exists a unique Pareto optimal equilibrium. The main result of this...

In this paper we develop a model to analyze, in a dynamic framework, how countries join international environmental agreements (IEAs). In the model, where countries suffer from the same environmental damage as a result of the total global emissions, a non-signatory country decides its emissions...

In this article, we use a simple mean-variance set up, where two symmetric Â…firms are competing in quantities, and investigate the impact of demand variability on the stability of collusion.

This paper analyzes the coalitional Great Fish War model under the assumption that players differ in their time preferences and use different discount rates. We derive the equilibrium payoffs of this coalitional game and investigate the impact of the asymmetry assumption on the extreme schemes...

We develop a contingent claims model for a firm in financial distress with a formal account for renegotiations under the U.S. bankruptcy procedure (known as Chapter 11). Shareholders and two classes of creditors (senior and junior) alternatively propose a reorganization plan subject to a vote....