This paper studies contingent claim valuation of risky assets in a stochastic interest rate economy. the model employed generalizes the approach utilized by Heath, Jarrow, and Morton (1992) by imbedding their stochastic interest rate economy into one containing an arbitrary number of additional...

This paper provides a characterization theorem for a complete securities market when security prices follow Itô processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by...

The role of fiduciaries with conflicting interests has received considerable attention recently. The purpose of this paper is to analyze the role of a fiduciary casting votes under conflicting interests in proxy contests that seek to control the corporation and those waged solely for the purpose...

This paper models the U.S. Treasury securities auction market and demonstrates that market manipulation can occur in a rational equilibrium. It is a dynamic model with traders participating in a “when-issued” market, a Treasury auction, and a resale market. Manipulations occur when dealers...

This paper investigates market manipulation trading strategies by large traders in a securities market. A large trader is defined as any investor whose trades change prices. A market manipulation trading strategy is one that generates positive real wealth with no risk. Market manipulation...

This paper provides an economic and mathematical characterization of operational risk useful for clarifying the issues related to estimation and the determination of economic capital. The insights for this characterization originate in the corporate finance literature. Operational risk is...