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This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American…
A three-dimensional extension of the structural default model with firms' values driven by correlated diffusion processes is presented. Green's function based semi-analytical methods for solving the forward calibration problem and backward…
In recent years several complaints about racial discrimination in appraising home values have been accumulating. For several decades, to estimate the sale price of the residential properties, appraisers have been walking through the…
We analyze how retail investors price the credit risk of online P"P consumer loans in a reverse auction framework where personal interaction is absent. The explained interest rate variance is considerably larger than in comparable studies…
This paper considers the reliability problem in energy-only markets. Following widespread blackouts in 2011, Texas introduced a reliability price incentive to attract two GW of net additional natural gas-generating capacity. The incentive…
Corruption has a significant impact on economic growth, democracy, and inequality. It has severe consequences at the human level are incalculable. Public procurement, where public resources are used to purchase goods or services from the…
DeMarzo et al. (2005) consider auctions in which bids are selected from a completely ordered family of securities whose values are tied to the resource being auctioned. The paper defines a notion of relative steepness of families of…
We investigate a pricing rule that is applicable for streams of income or contingent claim liabilities and study how this rule changes under additional insider-type information that an investor might obtain. Considering a model where the…
Consumers are sensitive to medical prices when consuming care, but delays in price information may distort moral hazard. We study how medical bills affect household spillover spending following utilization, leveraging variation in insurer…
This study examines how congestion pricing shapes housing market outcomes and spatial equity in New York City. Using high-frequency sales and rental data and a combination of propensity score matching difference-in-differences, geographic…
The study focuses on improving the ex ante prediction accuracy assessment in the case of forecasting various house price dispersion measures in the USA. It addresses a critical gap in real estate market forecasting by proposing a novel…
This paper derives the expressions of correlations between prices of two assets, returns of two assets, and price-return correlations of two assets that depend on statistical moments and correlations of the current values, past values, and…
This paper reviews the research on the impacts of alcohol taxation outcomes such as heavy drinking and mortality. Where data availability permits, reviewed studies are replicated and reanalyzed. Despite weaknesses in the majority of…
We introduce pricing formulas for competition and collusion models of two-sided markets with an outside option. For the competition model, we find conditions under which prices and consumer surplus may increase or decrease if the outside…
Real estate contributes significantly to all major economies around the world. In particular, house prices have a direct impact on stakeholders, ranging from house buyers to financing companies. Thus, a plethora of techniques have been…
This paper analyzes the pricing of collateralized derivatives, i.e. contracts where counterparties are not only subject to financial derivatives cash flows but also to collateral cash flows arising from a collateral agreement. We do this…
The price multiplier effect provides precious insight into the behavior of investors during episodes of speculative trading. It tells us that the higher the price of an asset is (within a set of similar assets) the more its price is likely…
An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…
We consider an American contingent claim on a financial market where the buyer has additional information. Both agents (seller and buyer) observe the same prices, while the information available to them may differ due to some extra…
This paper presents a new rationale for a self-interested economic elite voluntarily extending property rights. When agents make endogenous investment decisions, there is a commitment problem. Ex-post, the elite face strong incentives to…