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This paper is the first to study vacancies, hires, and vacancy yields at the
establishment level in the Job Openings and Labor Turnover Survey, a large
sample of US employers. To interpret the data,...
Comment on ‘Central Bank Behavior and the Strategy of Monetary Policy: Observations from Six Industrialized Countries’ by Ben Bernanke and Frederic Mishkin
Central Bank Behavior Strategy of Monetary Policy
2015/8/4
Ben Bernanke and Rick Mishkin have put together a useful data base
on money growth, targets for money growth, and monetary policy decisions
in six different countries during the 1970s and 1980s. The...
The Early Exercise Boundary behavior at expiry for American style of derivative
The Early Exercise Boundary behavior American style derivative
2011/1/4
In this paper, we present a new method for calculating the limit of early exercise boundary at expiry. We price American style of general derivative using a formula expressed as a sum of the value of ...
The continuous behavior of the numeraire portfolio under small changes in information structure, probabilistic views and investment constraints
continuous behavior numeraire portfolio small changes information structure probabilistic views investment constraints
2010/12/17
The numeraire portfolio in a financial market is the unique positive wealth process that makes all other nonnegative wealth processes, when deflated by it, supermartingales. The numeraire portfolio de...