Browsing Τμήμα Λογιστικής και Χρηματοοικονομικής / Department of Accounting and Finance by Title
Now showing items 303-322 of 439
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Article
The prediction of earnings using financial statement information: empirical evidence with logit models and artificial neural networks
(1996)In the past three decades, earnings have been one of the most researched variables in accounting. Empirical research provided substantial evidence on its usefulness in the capital markets but evidence in predicting earnings ...
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Book
Preemption versus Collaboration in a Duopoly
(The MIT Press, 2011)This chapter examines preemptive investments and the possibility of tacit collusion among firms, delaying investment until a later date. It first presents the original deterministic model by Fudenberg and Tirole (1985) to ...
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Article
Preface
(1988)
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Preface
(2012)
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Article
Preface
(1995)
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Preface for Volume 1
(2008)
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Preface for Volume 2
(2008)
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Working Paper Open Access
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
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Article
Pricing and hedging GDP-linked bonds in incomplete markets
(2018)We model the super-replication of payoffs linked to a country’s GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model we obtain a hedging ...
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Article
Pricing options on scenario trees
(2008)We examine valuation procedures that can be applied to incorporate options in scenario-based portfolio optimization models. Stochastic programming models use discrete scenarios to represent the stochastic evolution of asset ...
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Pricing sovereign contigent convertible debt
(2018)We develop a pricing model for Sovereign Contingent Convertible bonds (S-CoCo) with payment standstills triggered by a sovereign’s Credit Default Swap (CDS) spread. We model CDS spread regime switching, which is prevalent ...
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Working Paper Open Access
Pricing sovereign contingent convertible debt
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...
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Article
Private information in currency markets
(2019)Using daily abnormal currency returns for the universe of countries with flexible exchange rates, we show local currency depreciations ahead of unscheduled, public sovereign debt downgrade announcements. Consistent with ...
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Book
Project flexibility, agency, and competition: new developments in the theory and application of real options
(Oxford University Press, 2000)
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Book Chapter
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Article
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Article
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Article
Put-call parity violations and return predictability: Evidence from the 2008 short sale ban
(2019)We investigate the link between stock and options markets during the 2008 U.S. short sale ban. First, we find definitive evidence that the ban indeed caused stock overvaluation. Second, we show that the short sale ban ...
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Book
Quantitative methods, super computers and AI in finance
(Stanley Thornes in association with UNICOM, 1995)