This paper provides a model for housing prices based on a seller solving the optimal time-on-the market problem. Given the seller's optimal time-on-the market, analytical expressions are provided for both the expected time-on-the-market and the sales price. These expressions facilitate the...

This paper introduces the concept of statistical arbitrage, a long horizon trading opportunity that generates a riskless profit and is designed to exploit persistent anomalies. Statistical arbitrage circumvents the quot;joint hypothesisquot; dilemma of traditional market efficiency tests because...

We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach both extends the...

We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach extends the...

We provide an approach to the market valuation of deposit insurance that is based on reduced-form methods for the pricing of fixed-income securities under default risk. By reference to bank debt prices as well as qualitative-response models of the probability of bank failure, we suggest how a...

This paper studies the impact of filtration reduction on incomplete markets. We provide a new theorem and an economic based approach for studying information reduction. We use filtration reduction to identify a unique equivalent martingale measure for pricing derivatives in an arbitrage-free,...