This paper studies Value at Risk (VaR) bounds for sums of stochastically dependent random variables, i.e. portfolios of correlated financial assets. The bounds hold under no restrictions on the dependence or on the marginal distributions of returns. An improvement of the bounds is given for positive (quadrant) dependent rvs. Both sets of bounds are computed for portfolios of 6 international ind...

Abstract The exchange option, which has two correlated underlying assets, is one of the most popular exotic options in over-the-counter markets. This paper studies valuation with default risk option issuer, where allowed only at maturity. Moreover, we consider three assets stochastic volatilities and assume that fast mean-reverting processes determine volatilities. Based on partial differential...

This paper discusses novel research conducted to study the direct impact of learner’s affective changes on the value of a well established EEG-mental engagement index. An acquisition protocol for recording the electrical activity of the human brain, known as electroencephalography or EEG, was implemented in a learning environment specifically constructed for emotional elicitation. Data was coll...

this paper analyzes the relationship between capital structure and earning management. for analysing we used 119 non-financial companies that listed in tehran stock exchange from 2000 to 2008. the researchers will focus on comparing the jones model and the modified jones model, which are the two most frequently used model in empirical analysis nowadays. earnings management is a kind of manageme...

Abstract In this paper, we study the problem for pricing of American better-of option on two assets. Due to correlated underlying assets and early-exercise feature which requires free boundaries be determined price, is a complex. We propose new efficient approach solve problem. Mellin transform methods are mainly used find formula, explicit formula price derived as an integral equation represen...

We consider a model in which banking is characterized by asset substitution moral hazard and managerial under-provision of effort in loan monitoring. The privately-optimal bank leverage efficiently balances the benefit of debt in providing the discipline to ensure that the bank monitors its loans against the benefit of equity in attenuating asset-substitution moral hazard. However, when correla...

Abstract: This paper investigates whether various components of wealth affect real consumption asymmetrically through a threshold adjustment model. The empirical findings for the U.S. show that only stock market assets, financial assets including stock market assets, and household net assets exert a practical wealth effect on consumption expenditure. By contrast, financial assets excluding stoc...

We consider a model in which banks face two moral hazard problems: 1) asset substitution by shareholders, which can occur when banks make socially-inefficient, risky loans; and 2) managerial under-provision of effort in loan monitoring. The privately-optimal level of bank leverage is neither too low nor too high: It efficiently balances the market discipline that owners of risky debt impose on ...