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  • 1
    Monograph available for loan
    Monograph available for loan
    Dark markets : asset pricing and information transmission in over-the-counter markets (2012)
    Princeton [u.a.] : Princeton Univ. Press
    Details Availability
    Call number: PIK B 130-13-0123
    Description / Table of Contents: Contents: 1: Over-the-Counter Markets ; 2: The Case of Federal Funds Lending ; 3: Search for Counterparties ; 4: A Simple OTC Pricing Model ; 5: Information Percolation in OTC Markets ; Appendix: Foundations for Random Matching
    Type of Medium: Monograph available for loan
    Pages: XV, 95 S. : graph. Darst. , 24 cm
    ISBN: 9780691138961
    Series Statement: Princeton lectures in finance
    Location: A 18 - must be ordered
    Branch Library: PIK Library
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  • 2
    Electronic Resource
    Electronic Resource
    A YIELD-FACTOR MODEL OF INTEREST RATES (1996)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 6 (1996), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric muitivariate Markov diffusion process with “stochastic volatility.” the yield of any zero-coupon bond is taken to be a maturity-dependent affine combination of the selected “basis” set of yields. We provide necessary and sufficient conditions on the stochastic model for this affine representation. We include numerical techniques for solving the model, as well as numerical techniques for calculating the prices of term-structure derivative prices. the case of jump diffusions is also considered.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1996.tb00123.x
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Optimal Investment With Undiversifiable Income Risk (1993)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 3 (1993), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper treats the problem of consumption and portfolio choice in continuous time, with stochastic income that cannot be replicated by trading the available securities. the optimal controls and value functions are characterized in terms of the viscosity solution of the associated Hamilton-Jacobi-Bellman equation, which is shown to exist and is characterized. the optimal policy is then given from the first-order conditions of the Hamilton-Jacobi-Bellman equation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1993.tb00083.x
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  • 4
    Electronic Resource
    Electronic Resource
    From Discrete- to Continuous-Time Finance: Weak Convergence of the Financial Gain Process (1992)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 2 (1992), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Conditions suitable for applications in finance are given for the weak convergence (or convergence in probability) of stochastic integrals. For example, consider a sequence Sn of security price processes converging in distribution to S and a sequence θn of trading strategies converging in distribution to θ. We survey conditions under which the financial gain process θn dSn converges in distribution to θ dS. Examples include convergence from discrete- to continuous-time settings and, in particular, generalizations of the convergence of binomial option replication models to the Black-Scholes model. Counterexamples are also provided.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1992.tb00022.x
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  • 5
    Electronic Resource
    Electronic Resource
    A term structure model with preferences for the timing of resolution of uncertainty (1997)
    Springer
    Economic theory 9 (1997), S. 3-22 
    Details
    ISSN: 1432-0479
    Keywords: G12 ; D89 ; D99
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary In this paper we present a model of the term structure of interest rates with imperfect information and stochastic differential utility, a form of non-additive recursive utility. A principal feature of recursive utility, that distinguishes it from time-separable expected utility, is its dependence on the timing of resolution of uncertainty. In our model, we parametrize the nonlinearity of recursive utility in a way that corresponds to preferences for the timing of resolution. This way we show explicitly the dependence of prices on the rate of information, as a consequence of the nature of utilities. State prices and the term structure of interest rates are obtained in closed form, and are shown to have a form in which derivative asset pricing is tractable. Comparative statics relating to the dependence of the term structure on the rate of information are also discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01213440
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  • 6
    Electronic Resource
    Electronic Resource
    A term structure model with preferences for the timing of resolution of uncertainty (1996)
    Springer
    Economic theory 9 (1996), S. 3-22 
    Details
    ISSN: 1432-0479
    Keywords: JEL Classification Numbers: G12 ; D89 ; D99.
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Summary. In this paper we present a model of the term structure of interest rates with imperfect information and stochastic differential utility, a form of non-additive recursive utility. A principal feature of recursive utility, that distinguishes it from time-separable expected utility, is its dependence on the timing of resolution of uncertainty. In our model, we parametrize the non-linearity of recursive utility in a way that corresponds to preferences for the timing of resolution. This way we show explicitly the dependence of prices on the rate of information, as a consequence of the nature of utilities. State prices and the term structure of interest rates are obtained in closed form, and are shown to have a form in which derivative asset pricing is tractable. Comparative statics relating to the dependence of the term structure on the rate of information are also discussed.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01213440
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  • 7
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    Asset Pricing with Heterogeneous Consumers (1996)
    University of Chicago Press
    Details
    Publication Date: 1996-04-01
    Print ISSN: 0022-3808
    Electronic ISSN: 1537-534X
    Topics: Economics
    Published by University of Chicago Press
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  • 8
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    Reforming LIBOR and Other Financial Market Benchmarks (2015)
    American Economic Association
    Details
    Publication Date: 2015-05-01
    Description: LIBOR is the London Interbank Offered Rate: a measure of the interest rate at which large banks can borrow from one another on an unsecured basis. LIBOR is often used as a benchmark rate— meaning that the interest rates that consumers and businesses pay on trillions of dollars in loans adjust up and down contractually based on movements in LIBOR. Investors also rely on the difference between LIBOR and various risk-free interest rates as a gauge of stress in the banking system. Benchmarks such as LIBOR therefore play a central role in modern financial markets. Thus, news reports in 2008 revealing widespread manipulation of LIBOR threatened the integrity of this benchmark and lowered trust in financial markets. We begin with a discussion of the economic role of benchmarks in reducing market frictions. We explain how manipulation occurs in practice, and illustrate how benchmark definitions and fixing methods can mitigate manipulation. We then turn to an overall policy approach for reducing the susceptibility of LIBOR to manipulation before focusing on the practical problem of how to make an orderly transition to alternative reference rates without raising undue legal risks.
    Print ISSN: 0895-3309
    Electronic ISSN: 1944-7965
    Topics: Economics
    Published by American Economic Association
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  • 9
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    Information Percolation in Large Markets (2007)
    American Economic Association
    Details
    Publication Date: 2007-04-01
    Print ISSN: 0002-8282
    Electronic ISSN: 1944-7981
    Topics: Economics
    Published by American Economic Association
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  • 10
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    Prone to Fail: The Pre-Crisis Financial System (2019)
    American Economic Association
    Details
    Publication Date: 2019-02-01
    Description: The financial crisis that began in 2007 was triggered by over-leveraged homeowners and a severe downturn in US housing markets. However, a reasonably well-supervised financial system would have been much more resilient to this and other types of severe shocks. Instead, the core of the financial system became a key channel of propagation and magnification of losses suffered in the housing market. Critical financial intermediaries failed, or were bailed out, or dramatically reduced their provision of liquidity and credit to the economy. In short, the core financial system ceased to perform its intended functions for the real economy at a reasonable level of effectiveness. As a result, the impact of the housing-market shock on the rest of the economy was much larger than necessary. In this essay, I will review the key sources of fragility in the core financial system. I discuss the weakly supervised balance sheets of the largest banks and investment banks; the run-prone designs and weak regulation of the markets for securities financing and over-the-counter derivatives; the undue reliance of regulators on “market discipline; and the interplay of too-big-to-fail and the failure of market discipline. Finally, I point to some significant positive strides that have been made since the crisis: improvements in the capitalization of the largest financial institutions, a reduction of unsafe practices and infrastructure in the markets for securities financing and derivatives, and a significantly reduced presumption that the largest financial firms will be bailed out by taxpayer money in the future. But I will also mention some remaining challenges to financial stability that could be addressed with better regulation and market infrastructure.
    Print ISSN: 0895-3309
    Electronic ISSN: 1944-7965
    Topics: Economics
    Published by American Economic Association
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