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NBER WORKING PAPER SERIES RATIONAL ASSET PRICES George M. Constantinides 8826
... factors and tap into the rich and burgeoning literature on behavioral economics and finance.4 How does one process this information and adjust the sample mean estimate of the unconditional mean return and premium? To address this issue, I denote by ...
... factors and tap into the rich and burgeoning literature on behavioral economics and finance.4 How does one process this information and adjust the sample mean estimate of the unconditional mean return and premium? To address this issue, I denote by ...
Optimal Federal Public Debt Composition
... costs and risks. On that basis, one chooses the structure in the frontier that possesses the desired profile for the long-term, complying with society's preferences between costs and risks. An important question in the model is what should be the relevant concept of debt size in order to evaluate co ...
... costs and risks. On that basis, one chooses the structure in the frontier that possesses the desired profile for the long-term, complying with society's preferences between costs and risks. An important question in the model is what should be the relevant concept of debt size in order to evaluate co ...
THE RELATIONSHIP BETWEEN CREDIT
... Analysts and commentators often use ratings as descriptors of the creditworthiness of bond issuers rather than descriptors of the quality of the bonds themselves. This is reasonable because it is rare for two different bonds issued by the same company to have different ratings. Indeed, when rating a ...
... Analysts and commentators often use ratings as descriptors of the creditworthiness of bond issuers rather than descriptors of the quality of the bonds themselves. This is reasonable because it is rare for two different bonds issued by the same company to have different ratings. Indeed, when rating a ...
Dividends and Interest Rate Sensitivity
... central banks have been reluctant to tighten monetary policy over this period. The current economic environment has increased the potential divergence of policy across the world’s economic regions. The European Union has been mired in the prevention of a Greece default, amid soft growth in the South ...
... central banks have been reluctant to tighten monetary policy over this period. The current economic environment has increased the potential divergence of policy across the world’s economic regions. The European Union has been mired in the prevention of a Greece default, amid soft growth in the South ...
Chapter 3: Over-the-Counter Derivatives
... Finally, OTC derivatives markets represent an alternative channel for finding willing counterparties, also known as “accessing liquidity.” Some transactions generally lack liquidity because of their unique economic terms, such as currency types, contract amounts, maturities, delivery locations, and ...
... Finally, OTC derivatives markets represent an alternative channel for finding willing counterparties, also known as “accessing liquidity.” Some transactions generally lack liquidity because of their unique economic terms, such as currency types, contract amounts, maturities, delivery locations, and ...
Chapter 17
... • Must remove all nodes used in the list • To do this, use list traversal to visit each node • For each node, – Unlink the node from the list – If the list uses dynamic memory, then free the node’s memory ...
... • Must remove all nodes used in the list • To do this, use list traversal to visit each node • For each node, – Unlink the node from the list – If the list uses dynamic memory, then free the node’s memory ...
CPDO – Managed Trades
... • Given tight spread environment, there are few alternatives to achieve investment grade return targets except through a rule-based, leveraged credit strategy. • For an IG corporate index CPDO, the idea is migration to non-IG and default will have been flushed out, potentially at a cost, when the in ...
... • Given tight spread environment, there are few alternatives to achieve investment grade return targets except through a rule-based, leveraged credit strategy. • For an IG corporate index CPDO, the idea is migration to non-IG and default will have been flushed out, potentially at a cost, when the in ...
Lecture 12: Heaps, Priority Queues, Heapsort, Greedy Algorithms
... • Not a stable sort, and one of the most difficult to devise a stable variation to. • n elements, log(n) time for each -> O(n log n). • This algorithm competes with quicksort and mergesort due to the O(n log n) worst-case guarantee and requirement of only constant space. • It’s also an extremely sim ...
... • Not a stable sort, and one of the most difficult to devise a stable variation to. • n elements, log(n) time for each -> O(n log n). • This algorithm competes with quicksort and mergesort due to the O(n log n) worst-case guarantee and requirement of only constant space. • It’s also an extremely sim ...
Parallel and Distributed Branch-and-Bound/A* Algorithms
... time or memory space. Parallelism is then used to speed up construction of search trees and to provide more memory space. The management of the irregular and dynamic data structures in parallel processing is therefore the key for high performance of computation. Research during the last decade in th ...
... time or memory space. Parallelism is then used to speed up construction of search trees and to provide more memory space. The management of the irregular and dynamic data structures in parallel processing is therefore the key for high performance of computation. Research during the last decade in th ...
iterable - Dave Reed
... to insert/delete from an interior location, really need a reference to the previous location e.g., remove(item) must traverse and keep reference to previous node, so that when the correct node is found, can route links from previous node ...
... to insert/delete from an interior location, really need a reference to the previous location e.g., remove(item) must traverse and keep reference to previous node, so that when the correct node is found, can route links from previous node ...
Efficient representation of integer sets
... 0, . . . , n − 1 in the following way. For each bit in the bitmap, if the bit’s value is 1, we assume that the integer corresponding to the bit’s position in the bitmap is a member of the set. The rest of the bits represent integers that do not belong to the set. Let us consider the sets A = {2, 3, ...
... 0, . . . , n − 1 in the following way. For each bit in the bitmap, if the bit’s value is 1, we assume that the integer corresponding to the bit’s position in the bitmap is a member of the set. The rest of the bits represent integers that do not belong to the set. Let us consider the sets A = {2, 3, ...
14 - InGesFor
... advantage; it assumes path dependency. Traditional present value of cash flows methods assume the future cash flows are given for all the specific future periods. Usually, the assumption is that the firm is operating throughout all the future periods. Uncertainty can be dealt with using probabilitie ...
... advantage; it assumes path dependency. Traditional present value of cash flows methods assume the future cash flows are given for all the specific future periods. Usually, the assumption is that the firm is operating throughout all the future periods. Uncertainty can be dealt with using probabilitie ...
Design Patterns for Self-Balancing Trees
... tree. The visitor pattern was used to achieve this decoupling. ...
... tree. The visitor pattern was used to achieve this decoupling. ...
Lattice model (finance)
![](https://commons.wikimedia.org/wiki/Special:FilePath/Arbre_Binomial_Options_Reelles.png?width=300)
For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.