A new type of bank regulatory capital, known as contingent capital, has emerged in tandem with discussions on the BASEL III regulatory framework but there is a lack of consensus on a standard valuation approach among those proposed so far. We think that the practical solution is to be able to...

We propose a criterion for portfolio selection, implied excess Sharpe ratio. The implied excess Sharpe ratio is intended as an excess Sharpe ratio (versus the underlying stock) that investors can expect to enjoy from portfolios that include options and is a useful ex ante indicator that can be...

We consider non-zero sum bi-matrix games where one player presumes the role of a leader in the Stackelberg model, while the other player is her follower. We show that the leader can improve her reward if she can incentivise her follower by paying some of her own utility to the follower for...

We consider non-zero sum bi-matrix games where one player presumes the role of a leader in the Stackelberg model, while the other player is her follower. We show that the leader can improve her reward if she can incentivise her follower by paying some of her own utility to the follower for...

The world has changed considerably in the previous two decades. Today, people are facing extreme poverty, global warming, and unwanted climate changes. The economic gap between countries is continuously growing. Moreover, with the expanding influence of technology, governance is getting more...

In a number of semiparametric models, smoothing seems necessary in order to obtain estimates of the parametric component which are asymptotically normal and converge at parametric rate. However, smoothing can inflate the error in the normal approximation, so that refined approximations are of...