Um einen Aktienindex exakt nachzubilden, muß man die Gewichtungsfaktoren des Indexes mit dem gewünschten Index-Vielfachen multiplizieren und erhält so...
Describes a stochastic model developed to explain how the early unwinding propensity of market participants in the financial futures markets can lead...
We consider a cash management problem where a company with a given financial endowment and given future cash flows minimizes the Conditional Value at...
We examine the impact of price cap regulation oil the Capacity investments of oligopolistic suppliers facing time-varying demand We find that binding...
This paper analyzes observed prices of US temperature futures at the Chicago Mercantile Exchange (CME). Results show that an index modeling approach...
The paper introduces a Black-Cox-type structural model for credit default swaps (CDS). The existing literature on structural CDS pricing is extended...
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