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This PDF is a selection from a published volume from... Bureau of Economic Research
This PDF is a selection from a published volume from... Bureau of Economic Research

... haircut than otherwise available, this always lowers its required return. The required returns of other securities either all increase or all decrease, depending on what happens to the shadow cost of capital. The most intuitive case is that the shadow cost of capital decreases due to the new source ...
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Inflation and the Price of Real Assets ∗ Monika Piazzesi Martin Schneider

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Ques 2:Which of the following: singly-linked list or doubly

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lab#4 Linked Lists - Data Structures CS322

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Dual Attributes of Government Intervention and China`s Real Estate

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2011 Article I Swedish house prices in an international perspective

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Equilibrium in Securities Markets with Heterogeneous
Equilibrium in Securities Markets with Heterogeneous

Bond Markets in Serbia: Regulatory Challenges for an Efficient Market
Bond Markets in Serbia: Regulatory Challenges for an Efficient Market

... curtailed withdrawals altogether. In 1991, FRY proclaimed a moratorium on government debt towards all private depositors, referred to as "old foreign currency savings". At the time of the moratorium, the total outstanding balance was close to 6 billion DEM. The events that followed had a major influ ...
schroders liquid alternatives br en
schroders liquid alternatives br en

... and enhance returns through the use of borrowed capital. In the case of liquid alternatives this is achieved through the use of derivative instruments. Leverage can be applied on both the long side and the short side and, when managed carefully, can be an effective technique for magnifying the retur ...
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NBER WORKING PAPER SERIES INTERNATIONAL CAPITAL FLOWS RETURNS AND WORLD FINANCIAL INTEGRATION

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CHAPTER FIVE Discrete Distributions 1 Discrete Distributions C 1

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The European Union, the Euro, and equity market integration

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Evaluating the Dynamic Nature of Market Risk by Todd Hubbs, Todd

... (1988) apply alternative SIM specifications, including a stochastic coefficient model, to Delaware farm sector returns. These previous SIM applications in agriculture recognize the usefulness of the SIM for risk analysis in general and in particular for its systematic-nonsystematic risk breakdown. H ...
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notes - Computer Science

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Analysis of Algorithms CS 465/665

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... The events of 2008 and 2009 severely disrupted these markets and revealed certain undesirable features of variance swaps. Carr and Lee (2009) write, “The cataclysm that hit almost all financial markets in 2008 had particularly pronounced effects on volatility derivatives . . . . Dealers learned the ...
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mmi14-Hoffmann 19104742 en

... The second term is the effect on intertemporal substitution of expected changes in the local price of non-tradeables. If the price of the provincial consumption bundle relative to tradeable goods is expected to rise in the future, there is an incentive to save more. In analogy to Hoffmann (2012), we ...
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Download attachment

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Index Structures for Files Multi-Level Indexes Multi

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Finding The Maximum Density Axes Parallel Regions for Weighted

Leaving home and housing prices. The experience of Italian youth
Leaving home and housing prices. The experience of Italian youth

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Lattice model (finance)



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.
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