Leisure Luxuries and the Labor Supply of Young Men -- by Mark Aguiar, Mark...
Younger men, ages 21 to 30, exhibited a larger decline in work hours over the last fifteen years than older men or women. Since 2004, time-use data show that younger men distinctly shifted their...
View ArticlePathways to Retirement through Self-Employment -- by Shanthi Ramnath, John B....
We examine the role of self-employment in retirement transitions using a panel of administrative tax data. We find that the hazard of self-employment increases at popular retirement ages associated...
View ArticleThe Consequences of Educational Voucher Reform in Chile -- by Richard J....
In an effort to boost student achievement and reduce income-based gaps, the Chilean government passed the Preferential School Subsidy Law (SEP) in 2008, which altered the nation's 27-year-old universal...
View ArticleSplit-Sample Strategies for Avoiding False Discoveries -- by Michael L....
Preanalysis plans (PAPs) have become an important tool for limiting false discoveries in field experiments. We evaluate the properties of an alternate approach which splits the data into two samples:...
View ArticleOption pricing under fast-varying and rough stochastic volatility....
Recent empirical studies suggest that the volatilities associated with financial time series exhibit short range correlations. This entails that the volatility process is very rough and its...
View ArticleAn Investigation into Laboucheres Betting System to Improve Odds of Favorable...
The Labouchere gambling system is hypothesized to increase the probability of winning a predetermined arbitrary profit in a gambling system such as a coin flip or a roulette game in which both payouts...
View ArticlePricing American Call Options by the Black-Scholes Equation with a Nonlinear...
In this paper we analyze a nonlinear generalization of the Black-Scholes equation for pricing American style call option in which the volatility may depend on the underlying asset price and the Gamma...
View ArticleAnalytical and numerical results for American style of perpetual put options...
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative of the option price...
View ArticleFragmentation, integration and macroprudential surveillance of the US...
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by...
View ArticleForeign exchange market modelling and an on-line portfolio selection...
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line...
View ArticleExponential utility maximization with unbounded payoffs and its application...
Using the elements from the theory of quadratic backward stochastic differential equations with unbounded terminal data, we solve an exponential utility maximization problem with unbounded random...
View ArticleBasel III implementation: Basel Committee reports to G20 Leaders
Press release about the Basel Committee reporting Basel III implementation to G20 Leaders (4 July 2017).
View ArticleImplementation of Basel standards
The Basel Committee is publishing the "Implementation of Basel standards", July 2017.
View ArticleMulti-state models for evaluating conversion options in life insurance....
In this paper we propose a multi-state model for the evaluation of the conversion option contract. The multi-state model is based on age-indexed semi-Markov chains that are able to reproduce many...
View ArticleA Model of Wealth Accumulation. (arXiv:1707.00996v1 [physics.soc-ph])
Individual and national wealth accumulation is here modelled as a recurrently played game between randomly matched pairs of individuals from a large population. The simple game here studied represents...
View ArticleThe Role of Money in the Business Cycle. (arXiv:1707.00947v1 [q-fin.EC])
The aim of this paper is to reemphasize the money theory of exchange which is centered on the function of exchange medium of money, and make a contribution towards linearization of the quantity...
View ArticleBonus--malus systems with different claim types and varying deductibles....
The paper deals with bonus-malus systems with different claim types and varying deductibles. The premium relativities are softened for the policyholders who are in the malus zone and these...
View ArticleAsymptotics for the Euler-Discretized Hull-White Stochastic Volatility Model....
We consider the stochastic volatility model $dS_t = \sigma_t S_t dW_t,d\sigma_t = \omega \sigma_t dZ_t$, with $(W_t,Z_t)$ uncorrelated standard Brownian motions. This is a special case of the...
View ArticleHow London’s Gold Market, the World’s Largest, Evolved: Timeline
Here's how the world's largest gold market evolved https://t.co/epmDoMHB3S http://pic.twitter.com/2h08ShOnls â Bloomberg (@business) July 10, 2017
View ArticleChief Justice John Roberts' Commencement Address
I heard about Chief Justice John Roberts' commencement address at Cardigan Mountain School in New Hampshire the other day. I had an opportunity to watch the speech on YouTube, and I thought he shared...
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