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Samuelson (1965) devised that futures price volatility increases as the futures contract approaches its expiration. The relation amid the volatility and time to maturity has significant inference for hedging strategies. Interestingly, so far the empirical evidence in favor of the Samuelson...
The ability of standard executive stock options to incite managers to adequately select the assets of their firm has been extensively questioned by academics and practitioners. However, very few alternatives exist or have been proposed to better control the investment strategies of top managers....
The extended velocities of money given by the ratio of NGDP and M2+CD in Japan’s lost decade are analyzed through the non-linear time series analysis based upon the theory of KM2O-Langevin equations. The time series of logarithmic returns of some extended velocities of money are judged to have a...
We consider the credit valuation adjustment (CVA) of credit default swap under an interacting intensities model. The default intensities of the protection seller and the reference entity are both influenced by an external shock event. The arrival of the shock event is a regime switching Poisson...
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