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In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money
implied volatility skew for a generalization of the Bates model, where the volatility does not need to be a diffusion or a
Markov process, as the examples in Sect. 7 show. This expression depends on the derivative of the volatility in the sense
of Malliavin calculus.
E. Alòs’ research is supported by grants MEC FEDER MTM 2006 06427 and SEJ2006-13537.
J.A. León’s research is partially supported by the CONACyT grant 45684-F.
J. Vives’ research is supported by grant MEC FEDER MTM 2006 06427. 相似文献
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Competition in the Changing World of Banking 总被引:5,自引:0,他引:5
This paper reviews the role of competition in banking againstthe background of a transforming sector. It uses industrialorganization and modern financial intermediation analysis tostudy the relationships between the level of competition, risk-takingincentives, and the regulatory frame. The consequences for marketstructure of the liberalization process and the need for competitionpolicy in the sector are high-lighted. 相似文献
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A dynamic finite-horizon market for a risky asset with a continuumof risk-average heterogeneously informed investors and a risk-neutralcompetitive market-making sector is examined. The article analyzesthe effect of investors' horizons on the information contentof prices. It is shown that short horizons enhance or reduceaccumulated price informativeness depending on the temporalpattern of private information arrival. With concentrated arrivalof information, short horizons, reduce final price informativeness;with diffuse arrival of information, short horizons enhanceit. In the process a closed-form solution to the dynamic equilibriumwith long-term investors is derived. 相似文献
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Summary. Short-lived agents want to predict a random variable q\theta and have to decide how much effort to devote to collect private information and consequently how much to rely on public information. The latter is just a noisy average of past predictions. It is shown that costly information acquisition prevents an unbounded accumulation of public information if (and only if) the marginal cost to acquire information is positive at zero (C¢(0) > 0)(C^\prime (0) > 0). When C¢(0) = 0C^\prime (0) = 0 public precision at period n, _boxclose_boxclose\tau_n, tends to infinity with n but the rate of convergence of public information to q\theta is slowed down with respect to the exogenous information case. At the market outcome agents acquire too little private information. This happens either with respect to a (decentralized) first best benchmark or, for n large, with respect to a (decentralized) second best benchmark. For high discount factors the limit point of market public precision always falls short of the welfare benchmarks whenever C¢(0) > 0C^\prime (0) > 0. In the extreme, as the discount factor tends to one public precision tends to infinity in the welfare-optimal programs while it remains bounded at the market solution. Otherwise, if C¢(0) = 0C^\prime (0) = 0 public precision accumulates in an unbounded way both at the first and second best solutions. More public information may hurt at either the market or second best solutions. 相似文献
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This paper studies the price dynamics induced by strategic firm behavior in the presence of consumer learning about the uncertain quality differential of the products offered by a duopoly. It is found that consumers learn slowly and that prices converge also slowly to full-information levels. A consequence is that the incentives affirms to manipulate consumers' beliefs are persistent. Although pricing tends to be aggressive at the early stages, and average prices eventually increase over time, price wars may occur at intermediate stages of the product life cycle. 相似文献
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This article reviews the main issues of regulating and supervisingbanks in emerging markets with a view toward evaluating thelong-run options. Particular attention is paid to Latin Americaand East Asia. These economies face a severe policy commitmentproblem that leads to excessive bailouts and potential devaluationof claims of foreign investors. This exacerbates moral hazardand makes a case for importing external discipline (for example,acquiring foreign short-term debt). However, external disciplinemay come at the cost of excessive liquidation of entrepreneurialprojects. The article reviews the tradeoffs imposed by externaldiscipline and examines various proposed arrangements, suchas narrow banking, foreign banks and foreign regulation, andthe potential role for an international agency or internationallender of last resort. 相似文献
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Xavier Vives 《Spanish Economic Review》2007,9(4):237-247
This paper provides an introduction to the theory of games of strategic complementarities, considers Bayesian games, and provides
an application to global games.
This paper is based on the Spanish Economic Review lecture given at the Simposio de Análisis Económico, Alicante, December
2001. Support from the Spanish Ministry of Education and Science (project SEJ2005-08263) is gratefully acknowledged. 相似文献