We investigate how sensitive a variety of dynamic and static hedge strategies for barrier options are to model risk. We find that using plain vanilla options to hedge barrier options offers considerable improvements over usual ?-hedges. Further, we show that the hedge portfolios involving...

No abstract.

This paper considers the market for digital music. We claim that the combination of the MP3 format and peer-to-peer networks has made music non-excludable and this feature is essential for the understanding of the economics of the music market. We study optimal business models for selling...

We examine the case of an important outsider to the Cobden-Chevalier network of bilateral treaties in the second half of the nineteenth century. We attempt to explain this through a study of the structure of Danish trade and protection. We demonstrate, in contrast to previous accounts that have...

Empirically, a higher frequency of lightning strikes is associated with slower growth in labor productivity across the 48 contiguous US states after 1990; before 1990 there is no correlation between growth and lightning. Other climate variables (e.g., temperature, rainfall and tornadoes) do not...

How far can we go in weakening the assumptions of the general equilibrium model? Existence of equilibrium, structural stability and finiteness of equilibria of regular economies, genericity of regular economies and an index formula for the equilibria of regular economies have been known not to...

This study ranks - for the first time - 12 international academic journals that have economic history as their main topic. The ranking is based on data collected for the year 2007. Journals are ranked using standard citation analysis where we adjust for age, size and self-citation of journals....

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression with piecewise linear deterministic terms. Limiting behavior of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for...

A dynamic pure-exchange general equilibrium model with uncertainty is studied. Fundamentals are supposed to depend continuously on states of nature. It is shown that: 1. if financial markets are complete, then asset prices vary continuously with states of nature, and; 2. if financial markets are...

We consider the problem of determining the individual preference rankings that are necessarily implied by a dataset consisting of prices, income distributions and total resources. We show the equivalence between the compatibility with individual preference rankings and the existence of a...