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Articles in "Finance"
Currency crises: strategic game between central bank and spot speculators
The paper studies an optimal switching policy between fixed and floating exchange rate regimes when the central bank dislikes losing reserves.
Updated: 22/09/2011
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Views: 2,731
Admissible strategies in semimartingale portfolio selection
The choice of admissible trading strategies in mathematical modelling of financial markets is a delicate issue, going back to Harrison and Kreps (1979). In the context of optimal portfolio selection with expected utility preferences this question has been a focus of considerable attention over the last 20 years.
Updated: 22/09/2011
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Views: 2,786
On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. Maccheroni et al. 2006) and optimal portfolios generated by classical expected utility.
Updated: 22/09/2011
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Views: 2,500
An improved convolution algorithm for discretely sampled Asian options
We suggest an improved FFT pricing algorithm for discretely sampled Asian options with general independently distributed returns in the underlying.
Updated: 22/09/2011
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Views: 3,291
The impact of changing demographics and pensions on the demand for housing and financial assets
The main aim of this paper is to to analyse the impact of shifting demographics and changes in pension arrangements in a model which includes housing both as an investment asset and a consumption good.
Updated: 22/09/2011
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Views: 3,233
Hedging by sequential regressions revisited
Almost 20 years ago Foellmer and Schweizer (1989) suggested a simple and influential scheme for the computation of hedging strategies in an incomplete market. Their approach of local risk minimization results in a sequence of one-period least squares regressions running recursively backwards in time.
Updated: 22/09/2011
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Views: 2,641
Optimal hedging with higher moments
This study proposes a utility-based framework for the determination of optimal hedge ratios that can allow for the impact of higher moments on the hedging decision. The approach is applied to a set of 20 commodities that are hedged with futures contracts.
Updated: 22/09/2011
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Views: 2,873
Fast Fourier transform and option pricing
This article is a concise introduction to applications of Fourier transform and FFT in option pricing.
Updated: 22/09/2011
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Views: 2,335
Does competition lead to efficiency? The case of EU commercial banks
Using bank level balance sheet data for commercial banks in the major EU banking markets, this paper aims to shed some light on the recent developments in competition, concentration and bank-specific efficiency levels. Furthermore, using Granger-type causality test estimations, this study investigates the relationship between competition and efficiency.
Updated: 22/09/2011
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Views: 2,981
Integration and efficiency in EU banking markets
This paper evaluates the recent dynamics of bank cost efficiency by means of Data Envelopment Analysis (DEA). Borrowing from the growth literature, we apply dynamic panel data models (GMM) to the concepts of β-convergence and σ-convergence to assess the speed at which banking markets are integrating.
Updated: 22/09/2011
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Views: 2,314
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