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In this paper we present some contingent claim analysis’ models for the firm value. We focus on two different approaches: the structural (Merton) approach and a new one that treats the asset value as a claim on the firm’s securities. The non-observability of the assets’...
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Corporations in most countries are run by controlling shareholders whose cash flow rights are substantially smaller than their control rights in the firm. This separation of ownership and control allows the controlling shareholders to pursue private benefits at the cost of outside minority...
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This paper presents a fully rational general equilibrium model that produces a time-varying exchange rate risk premium and solves the uncovered interest rate parity (U.I.P) puzzle. In this two-country model, agents are characterized by slow-moving external habit preferences similar to Campbell &...
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An efficient procedure is proposed to evaluate option prices using neural networks. The method considers alternatives to the procedures suggested by Hutchinson, Lo and Poggio in the Journal of Finance of 1994
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It is widely accepted that the distribution of financial returns has heavy tails. In this context it is important to understand the frequency and importance of extreme events in financial markets. Extreme Value Theory is the appropriate framework for studying the tail behaviour of a...
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