| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Three-Sector Model of the Russian Virtual Economy |
0 |
0 |
0 |
199 |
0 |
0 |
3 |
1,506 |
| A theory of endogenous time preference, and discounted utility anomalies |
0 |
0 |
0 |
319 |
0 |
0 |
0 |
977 |
| Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models |
0 |
0 |
0 |
0 |
2 |
4 |
5 |
5 |
| Alternative models for FX: pricing double barrier options in regime-switching L\'evy models with memory |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
5 |
| Ambiguous Jump-Diffusions and Optimal Stopping |
0 |
0 |
0 |
28 |
3 |
4 |
5 |
90 |
| American options: the EPV pricing model |
0 |
0 |
0 |
286 |
1 |
3 |
5 |
1,139 |
| Arrow's Equivalency Theorem in a Model with Neoclassical Firms |
0 |
0 |
0 |
17 |
2 |
4 |
4 |
104 |
| Buridan's Ass and a Menu of Options |
0 |
0 |
0 |
135 |
1 |
3 |
3 |
728 |
| Capital Accumulation under Non-Gaussian Processes and the Marshallian Law |
0 |
0 |
0 |
17 |
2 |
2 |
2 |
58 |
| Correct implied volatility shapes and reliable pricing in the rough Heston model |
0 |
0 |
3 |
3 |
1 |
3 |
7 |
9 |
| Discount factors ex post and ex ante, and discounted utility anomalies |
0 |
0 |
1 |
168 |
1 |
1 |
3 |
1,193 |
| Discounting when income is stochastic and climate change policies |
0 |
0 |
0 |
41 |
1 |
4 |
6 |
121 |
| Efficient evaluation of double-barrier options and joint cpdf of a L\'evy process and its two extrema |
0 |
0 |
0 |
1 |
1 |
1 |
2 |
3 |
| Efficient evaluation of expectations of functions of a stable L\'evy process and its extremum |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
4 |
| Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
| Efficient inverse $Z$-transform and Wiener-Hopf factorization |
0 |
0 |
0 |
1 |
2 |
5 |
6 |
8 |
| Efficient inverse $Z$-transform and pricing barrier and lookback options with discrete monitoring |
0 |
0 |
0 |
3 |
0 |
2 |
2 |
12 |
| Efficient inverse $Z$-transform: sufficient conditions |
0 |
0 |
0 |
3 |
2 |
3 |
3 |
6 |
| Fast reliable pricing and calibration of the rough Heston model |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |
| Gauge transformations in the dual space, and pricing and estimation in the long run in affine jump-diffusion models |
0 |
0 |
0 |
1 |
0 |
2 |
3 |
13 |
| General option exercise rules, with applications to embedded options and monopolistic expansion |
0 |
0 |
0 |
38 |
1 |
2 |
3 |
211 |
| General option exercise rules, with applications to embedded options and monopolistic expansion |
0 |
0 |
0 |
128 |
3 |
3 |
5 |
789 |
| Inside and Outside Money, with an Application to the Russian Virtual Economy |
0 |
0 |
1 |
96 |
1 |
6 |
9 |
264 |
| L\'evy models amenable to efficient calculations |
0 |
0 |
0 |
1 |
0 |
2 |
2 |
5 |
| Models of Investment under Uncertainty when Shocks are Non-Gaussian. On the Impact of the Policy Uncertainty on Investment |
0 |
0 |
1 |
145 |
1 |
3 |
5 |
515 |
| Money Substitutes in the Russian Virtual Economy: Sources and Impact on the Economy |
0 |
0 |
0 |
98 |
1 |
3 |
5 |
557 |
| Optimal stopping in Levy models, for non-monotone discontinuous payoffs |
0 |
0 |
0 |
28 |
2 |
3 |
4 |
106 |
| Optimal stopping made easy |
0 |
0 |
0 |
362 |
0 |
2 |
5 |
835 |
| Practical guide to real options in discrete time |
0 |
0 |
1 |
27 |
2 |
2 |
7 |
89 |
| Practical guide to real options in discrete time |
0 |
0 |
0 |
287 |
1 |
2 |
3 |
565 |
| Practical guide to real options in discrete time |
0 |
0 |
0 |
231 |
0 |
3 |
3 |
454 |
| Practical guide to real options in discrete time II |
0 |
0 |
0 |
219 |
1 |
2 |
3 |
400 |
| Preemption Games under Levy Uncertainty |
0 |
0 |
1 |
38 |
4 |
8 |
10 |
77 |
| Real options and the universal bad news principle |
0 |
0 |
0 |
183 |
1 |
1 |
1 |
544 |
| Real options and the universal bad news principle |
0 |
0 |
0 |
31 |
3 |
5 |
6 |
164 |
| SINH-acceleration for B-spline projection with Option Pricing Applications |
0 |
0 |
0 |
1 |
0 |
4 |
4 |
14 |
| SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations |
0 |
0 |
0 |
4 |
0 |
1 |
2 |
27 |
| Search, layoffs and reservation wages when job offers follow a stochastic process |
0 |
0 |
0 |
68 |
2 |
2 |
2 |
263 |
| Search-Money-and-Barter Models of Financial Stabilization |
0 |
0 |
0 |
39 |
1 |
5 |
6 |
211 |
| Simulation of a L\'evy process, its extremum, and hitting time of the extremum via characteristic functions |
0 |
0 |
0 |
4 |
2 |
5 |
8 |
9 |
| Static and semi-static hedging as contrarian or conformist bets |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
33 |
| Universal bad news principle and pricing of options on dividend-paying assets |
0 |
0 |
0 |
11 |
4 |
4 |
8 |
62 |
| Total Working Papers |
0 |
0 |
9 |
3,271 |
49 |
110 |
166 |
12,179 |
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