This presentation was based on the work of Jian Sun and Qiankun Niu, and presented at Morgan Stanley Global Modeling Meeting by Qiankun Niu on August 27, 2014. We thank Peter Carr for his invitation.Market Model is classified as the approach to model the implied volatility surface directly,...

Bond Yield curve is an important indicator of the borrowing costs and lending returns, is also one of the most observed indicator by traders in fixed income trading desk among investment banks. The shape of the yield curve can be normal, flat or inverted. In most cases, bond yield curve is...

We test whether military experience of CEOs or chairmen affects stock price crash risk. We find robust evidence that CEOs' or chairmen's military experience reduces crash risk. Our finding holds for various robustness checks including controlling for some additional characteristics of chairmen...

We study a continuous-time model of long-run employment relationship with fixed wage and at-will firing; that is, termination of the relationship is non-contractible. Depending on his type, the worker either always works hard, or can freely choose his effort level. The firm does not know the...

Using the exogenous shock of the COVID-19 pandemic, we examine whether vertical integration creates value for firms when facing increasing uncertainty. We find that there is a significant and positive correlation between vertical integration and cumulative abnormal return in the event window of...

We examine whether directors' and officers' (D&O) liability insurance affects corporate innovation. We find a positive association between D&O insurance and innovation. The result is robust to a series of robustness checks, including Heckman model, longer test windows of corporate innovation and...

This study examines the impact of board directors with foreign experience (BDFEs) on stock price crash risk. We find that BDFEs help reduce crash risk. This association is robust to a series of robustness checks, including firm fixed effects model, Heckman procedure, instrumental variable...