The Out-of-State Tuition Distortion -- by Brian G. Knight, Nathan M. Schiff
Public universities in the United States typically charge much higher tuition to non-residents. Perhaps due, at least in part, to these differences in tuition, roughly 75 percent of students nationwide...
View ArticleThe Effects of Non-Contributory Pensions on Material and Subjective Well...
Public expenditures on non-contributory pensions are equivalent to at least 1 percent of GDP in several countries in Latin America and is expected to increase. We explore the effect of non-contributory...
View ArticleA Theory of Bundling Advertisements in Media Markets -- by Kevin M. Murphy,...
Watching TV and other forms of media consumption represent, after sleeping and working, the main activity that adults perform in developed countries. We present a dynamic theory of commercial...
View ArticleThe Life-cycle Benefits of an Influential Early Childhood Program -- by Jorge...
This paper estimates the long-term benefits from an influential early childhood program targeting disadvantaged families. The program was evaluated by random assignment and followed participants...
View ArticleKiller Incentives: Status Competition and Pilot Performance during World War...
A growing theoretical and empirical literature shows that public recognition can lead to greater effort amongst employees. At the same time, status competition can be associated with excessive...
View ArticleFinancial Frictions and Fluctuations in Volatility -- by Cristina Arellano,...
During the recent U.S. financial crisis, the large decline in aggregate output and labor was accompanied by both a tightening of financial conditions and a large increase in the dispersion of growth...
View ArticleMultinomial method for option pricing under Variance Gamma....
This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is approximated by a...
View ArticleTrumponomics 'will not work', say Nobel-winning economists
Trumponomics gets the thumbs down from Nobel-winning economists at AFA Annual Meeting https://t.co/QQf8GnTnVT â moneyscience (@moneyscience) January 9, 2017
View ArticleProperty Safety Stock Policy for Correlated Commodities Based on Probability...
Deriving the optimal safety stock quantity with which to meet customer satisfaction is one of the most important topics in stock management. However, it is difficult to control the stock management of...
View ArticleSerially Nested CES General Equilibrium. (arXiv:1701.02216v1 [q-fin.EC])
We model production based upon a serially nested function, as we take into account the sequential processing nature of production activities. The sequence of intra-industrial processing is emulated...
View ArticlePolitical elections and uncertainty -Are BRICS markets equally exposed to...
There certainly is little or no doubt that politicians, sometimes consciously and sometimes not, exert a significant impact on stock markets. The evolving volatility over the Republican Donald Trump's...
View ArticleStability for gains from large investors' strategies in M1/J1 topologies....
We prove continuity of a controlled SDE solution in Skorokhod's $J_1$ and $M_1$ topologies and also uniformly, in probability, as a non-linear functional of the control strategy. The functional comes...
View ArticleAsset correlation estimation for inhomogeneous exposure pools....
Asset correlations play an important role in credit portfolio modelling. One possible data source for their estimation are default time series. This study investigates the systematic error that is made...
View ArticleFunctional Analytic (Ir-)Regularity Properties of SABR-type Processes....
The SABR model is a benchmark stochastic volatility model in interest rate markets, which has received much attention in the past decade. Its popularity arose from a tractable asymptotic expansion for...
View ArticlePricing insurance drawdown-type contracts with underlying L\'evy assets....
In this paper we consider some insurance policies related with drawdown and drawup events of log-returns for an underlying asset modeled by a spectrally negative geometric L\'evy process. We consider...
View ArticleMultiplex interbank networks and systemic importance - An application to...
Research on interbank networks and systemic importance is starting to recognise that the web of exposures linking banks' balance sheets is more complex than the single-layer-of-exposure approach...
View ArticleITG Releases December 2016 U.S. Trading Volume
Market Share Rises to Highest Level Since July 2015 NEW YORK, Jan. 10, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced that...
View ArticleUnreasonable Goals, Unethical Behavior
In a recent Harvard Business Review post, Liane Davey explores the connection between unreasonable objectives and unethical behavior. Sometimes, you face a difficult situation as a team leader. You...
View ArticleRecursive Marginal Quantization of Higher-Order Schemes. (arXiv:1701.02681v1...
Quantization techniques have been applied in many challenging finance applications, including pricing claims with path dependence and early exercise features, stochastic optimal control, filtering...
View ArticleMathematical models describing the effects of different tax evasion...
Microscopic models describing a whole of economic interactions in a closed society are considered. The presence of a tax system combined with a redistribution process is taken into account, as well as...
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