Consumer choice occurs over multiple products and services, each comprising multiple risks. In this paper, we present a new market research technique to measure consumers' preferences over large spaces of risks. We first describe the method, present its psychological and analytical motivation,...

In this paper we elaborate on what is commonly referred to as the Skew Delta of a Variance Swap, i.e. the sensitivity of the fair strike of a variance swap relative to moves in the underlying's spot price. In particular we examine whether or not a pure variance product such as a variance swap...

In this paper we present an innovative and straightforward model for constructing consistent and accurate implied volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks

Abstract: We use a two-year panel of individual accounts in an S&P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in...

We use a two-year panel of individual accounts in an Samp;P 500 index mutual fund to examine the trading and investment behavior of more than 91 thousand investors who have chosen a low-cost, passively managed vehicle for savings. This allows us to characterize investors' heterogeneity in terms...

We investigate whether investors tend to form expectations about different categories of assets in a consistent, similar fashion, or whether an investor would apply different models for forming expectations depending on the classification or characteristics of the assets. We investigate the...

Globalization and strengthening of integration processes have, among other things, also influenced some solutions relating to monetary sovereignty of particular countries. A great number of transition countries as well as some other underdeveloped countries are facing both inefficiency in their...

Globalization and strengthening of integration processes have, among other things, also influenced some solutions relating to monetary sovereignty of particular countries. A great number of transition countries as well as some other underdeveloped countries are facing both inefficiency in their...

This paper proposes the view that financial development and economic growth are linked through the characteristics of technology. The most obvious connection between technology and financial innovation emerges through risk-sharing. Technology is modeled as a distribution over outcomes....

A quantitative investigation of financial intermediation in the U.S. over the past 130 years yields the following results : (i) the finance industry’s share of GDP is high in the 1920s, low in the 1950s and 1960s, and high again in the 1990s and 2000s; (ii) most of these variations can be...