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Journal of Banking and Finance, ISSN 0378-4266, 03/2013, Volume 37, Issue 3, pp. 1018 - 1028
► We develop a widely applicable model to price financial securities. ► Our model is an extension of the Das and Sundaram (2007) model. ► It can be used to... 
Risk-neutral setting | Trivariate recombining lattice | Exchangeable bonds | BUSINESS, FINANCE | LIQUIDITY | CORPORATE YIELD SPREADS | MARKET | TERM STRUCTURE | BONDS | INTEREST-RATES | ECONOMICS | MODEL | Securities | Pricing
Journal Article
International Journal of Sport Management and Marketing, ISSN 1475-8962, 2006, Volume 1, Issue 3, pp. 255 - 262
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 2008, Volume 42, Issue 3, pp. 1013 - 1021
The cost of capital is a key element of the embedded value methodology for the valuation of a life business. Further, under some solvency approaches (in... 
Risk reward | Life annuities | Risk-neutral setting | Market-consistent valuation | IM01 | IM12 | IB13 | IB10 | Embedded value | MORTALITY | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | embedded value | life annuities | market-consistent valuation | UNCERTAINTY | risk reward | STATISTICS & PROBABILITY | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS | MODEL | risk-neutral setting
Journal Article
10/2013, Policy Research Working Paper, Volume 6646
The paper examines the capital structure of regulated infrastructure firms. The authors develop a model showing that leverage, the ratio of liabilities to... 
INFRASTRUCTURE CONCESSIONS | LIQUIDITY PROBLEMS | CORPORATE TAX | BOND MARKET | PRICE CAP REGULATION | WORLD DEVELOPMENT INDICATORS | CORRUPTION | PRIVATE INFRASTRUCTURE | DEPOSIT | DEVELOPMENT ECONOMICS | RISK AVERSE | RENEGOTIATION | INTEREST RATE SPREAD | PRIVATE INVESTORS | BANKRUPTCY INCREASES | GDP | INCOME DISTRIBUTION | CAPITAL RATIO | CONTRACT RENEGOTIATIONS | CONSUMERS | FINANCIAL DISTRESS | EIB | ROAD TOLLS | FINANCIAL DEVELOPMENT | RENEGOTIATION PROCESS | DIRECT PAYMENT | BENCHMARKING | DEPENDENT | BANKRUPT | DEPOSIT INTEREST | REGULATOR | PRICE SETTING | COST OF DEBT | INFRASTRUCTURE FINANCE | FINANCIAL PERFORMANCE | PUBLIC-PRIVATE PARTNERSHIPS | CORPORATE TAX RATES | LIQUIDITY | DEVELOPMENT POLICY | INTERNAL RATE OF RETURN | DEPOSIT INTEREST RATE | FINANCIAL INSTITUTIONS | TAX ADVANTAGE OF DEBT | WORKING CAPITAL | EXISTING DEBT | ORIGINAL CONTRACTS | CONSUMER SURPLUS | PROBABILITY OF BANKRUPTCY | DEVELOPING COUNTRIES | LEGISLATION | REGULATORY AGENCY | CAPITAL STRUCTURE | INCOME | MARKET PORTFOLIO | FINANCIERS | PRICE CAP | PROFITABILITY | PRIVATE DOMESTIC DEBT | BANKRUPTCY | BARRIER | REGULATORY GOVERNANCE | RETURNS | PRIVATE BOND | EXTERNAL INVESTORS | CONCESSION | GDP DEFLATOR | POTENTIAL INVESTORS | LENDERS | LEVELS OF DEBT | REGULATORY REGIMES | INFLATION | INTERNATIONAL FINANCIAL STATISTICS | HIGHLY LEVERAGED FIRMS | CAPITAL ASSET PRICING | INSTITUTIONAL INVESTOR | INFRASTRUCTURE PROJECTS | POLITICAL RISK | MARKETS DATABASE | COUNTRY RISK | CURRENT ASSETS | SHAREHOLDERS | COST OF EQUITY | EXCHANGE RATE MOVEMENTS | INTERNATIONAL BANK | PAYOFFS | PAYOFF | TAX | DEBT | DEPOSIT RATE | PRICE CAPS | RISK NEUTRAL | MARKET RISK | MORAL HAZARD | PRIVATE CAPITAL | FINANCIAL MANAGEMENT | TAX RATES | RATE OF RETURN | DEBT HOLDERS | AMOUNT OF DEBT | BANK POLICY | OUTPUT | MARKET VALUE | CLAIMANTS | LEVERAGE | EARNINGS BEFORE INTEREST | STOCK MARKET | EMERGING MARKETS | FINANCIAL DATA | VOLATILITY | DEVELOPMENT BANK | INCENTIVE STRUCTURE | DOMESTIC DEBT SECURITIES | LEVEL OF DEBT | GOVERNMENT GUARANTEES | VARIABLE RATE | REAL GDP | FINANCIAL DIFFICULTY | CORPORATE FINANCE | EMERGING MARKET | INSURANCE | PROCUREMENT | FINANCIAL STATEMENTS | BOOK VALUES | CLAIM | LEASE AGREEMENTS | REGULATORY AGENCIES | RETURN | TRANSPORT | GOVERNMENT ACTION | LENDING INTEREST RATE | REGULATORS | BOND | PORTFOLIO | BOND MARKET CAPITALIZATION | EXPOSURE | THREAT OF BANKRUPTCY | EXCHANGE RATE | CONCESSION CONTRACTS | REGULATORY ENVIRONMENT | CAPITAL ASSET | CORPORATE TAX RATE | COUNTRY DUMMIES | FINANCIAL CORPORATION | BAILOUTS | REGULATORY STRUCTURE | CAPITAL MARKETS | DUMMY VARIABLE | ECONOMETRICS | RESIDUAL CLAIMANTS | REGULATORY REGIME | CHAPTER 7 | REAL ASSETS | GOVERNMENT GUARANTEE | PRODUCTIVITY | SAVINGS | CONCESSION CONTRACT | RETURN ON ASSETS | STOCK MARKETS | CAPITAL STRUCTURES
Paper
European Journal of Operational Research, ISSN 0377-2217, 12/2019, Volume 279, Issue 3, pp. 854 - 868
Journal Article
Journal of Financial Markets, ISSN 1386-4181, 03/2016, Volume 28, pp. 132 - 148
In this paper, I consider variance bounds for stock price changes in a general setting that allows for ex-dividend stock prices, risk-averse investors, and... 
Risk aversion | Excess volatility | Variance bounds | Asset pricing | VARIABILITY | TESTS | BUSINESS, FINANCE | RISK-AVERSION | Federal Reserve banks
Journal Article
Transportation Research Part B, ISSN 0191-2615, 09/2014, Volume 67, pp. 86 - 108
Journal Article
Waste Management, ISSN 0956-053X, 05/2018, Volume 75, pp. 37 - 43
•An economic optimization model for vegetative waste from agriculture was developed.•The model accounts for uncertain and fluctuating output product... 
Economic model | Agricultural waste | Risk averse | Risk neutral | Optimization | ATTITUDES | ENVIRONMENTAL SCIENCES | ENGINEERING, ENVIRONMENTAL | CROPS | FARMERS | BIOGAS | ADOPTION DECISIONS | AVERSION | BIOCHAR | EFFICIENCY | UTILITY | RISK PREFERENCES | Waste Management - economics | Commerce | Uncertainty | Agriculture | Recycling | Agricultural industry | Prices and rates | Refuse and refuse disposal
Journal Article
Economic Theory, ISSN 0938-2259, 2007, Volume 33, Issue 1, pp. 81 - 101
Journal Article
Insurance Mathematics and Economics, ISSN 0167-6687, 01/2015, Volume 60, pp. 83 - 97
Journal Article
Quantitative Finance, ISSN 1469-7688, 10/2006, Volume 6, Issue 5, pp. 385 - 402
Journal Article
International Journal of Production Economics, ISSN 0925-5273, 09/2012, Volume 139, Issue 1, pp. 155 - 167
We first consider a supply chain with one manufacturer and one retailer where there is only one product with stochastic demand. The retailer is risk averse... 
Supply chain management | CVaR | Nash-bargaining equilibrium | Nash-bargaining | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | INVENTORY | PRICE | UNCERTAINTY | MODEL | ENGINEERING, MANUFACTURING | ENGINEERING, INDUSTRIAL | RENEGOTIATION | Management techniques | Management science | Management | Analysis | Logistics
Journal Article
Econometrica, ISSN 0012-9682, 01/2017, Volume 85, Issue 1, pp. 299 - 312
Journal Article
Journal of the Royal Statistical Society: Series A (Statistics in Society), ISSN 0964-1998, 01/2019, Volume 182, Issue 1, pp. 165 - 195
Journal Article
Theory and Decision, ISSN 0040-5833, 2/2015, Volume 78, Issue 2, pp. 289 - 304
Journal Article
Stochastic Analysis and Applications, ISSN 0736-2994, 09/2016, Volume 34, Issue 5, pp. 767 - 791
We describe a broad setting under which, for European options, if the underlying asset form a geometric random walk then, the error with respect to the... 
60J20 | 91B24 | 91G20 | Risk neutral random walk | rate of convergence | European digital options | Black-Scholes | Black–Scholes | MATHEMATICS, APPLIED | PRICES | BINOMIAL TREES | AMERICAN OPTION | STATISTICS & PROBABILITY | EUROPEAN OPTIONS | SCHEME | MODELS | ASYMPTOTICS | Errors | Approximation | Random walk | Images | Mathematical models | Stochasticity | Convergence
Journal Article