Under the assumption that two financial assets evolve by correlated finite activity jumps superimposed on correlated Brownian motion, the value of a contingent claim written on these two assets is given by a two dimensional parabolic partial integro-differential equation (PIDE). An implicit, finite difference method is derived in this paper. This approach avoids a dense linear system solution b...

Social science research has shown that intelligence is positively correlated with patience and frugality, while growth theory predicts that more patient countries will save more. This implies that if nations differ in national average IQ, countries with higher average cognitive skills will tend to hold a greater share of the world’s tradable assets. I provide empirical evidence that in today’s ...

In 1976 Black and Cox proposed a structural model where an obligor defaults when the value of its assets hits a certain barrier. In 2001 Zhou showed how the model can be extended to two obligors whose assets are correlated. In this paper we show how the model can be extended to a large number of different obligors. The correlations between the assets of the obligors are determined by one or mor...

We consider the problem of efficient estimation of tail probabilities of sums of correlated lognormals via simulation. This problem is motivated by the tail analysis of portfolios of assets driven by correlated Black-Scholes models. We propose two estimators that can be rigorously shown to be efficient as the tail probability of interest decreases to zero. The first estimator, based on importan...

Tangible assets, many of which can be easily collateralized, support debt. Accordingly, the amount of tangible assets is well-established as a principal driver of leverage. As investing is shifting more and more from tangible to intangible assets, it becomes crucial to understand to what extent intangible assets support debt. Analyzing this question empirically has been largely unfeasible due t...

Higlighting certain similarities between the two-dimensional Luttinger liquid model and the effective fermionic theory obtained from the hypercharge Lagrangian, we argue the case for a new type of Standard Model extension.

Obtaining start-up funding for new product ideas in large corporations is inherently frustrating. We evaluated teams that were successful in obtaining start-up funds from large corporations to determine the importance of the executive champion and team commitment and conflict. We found that the funding level was strongly correlated (R=0.104; p=0.002) with higher levels (β=0.193; p=0.016) of cha...

We study the equilibrium implications of an economy in which asset managers are each subject to a different benchmark. We demonstrate how heterogeneous benchmarking endogenously generates a mechanism through which fundamental shocks propagate across assets. Heterogeneous benchmarking reduces short-run return correlation, and may even lead to negative asset comovement. An asset that is included ...

This paper uses a longitudinal data set from rural Bangladesh to analyze the factors that affect men‘s and women‘s ability to participate in groups and to engage in relationships with powerful and influential people. Unlike studies from other countries that find group membership to be positively correlated with wealth, this study finds that group membership, which is driven mostly by women‘s me...

This research aims to evaluate whether dynamic portfolios consisting of bitcoin and LQ45 stocks outperform composed solely stocks, especially during the Covid-19 pandemic. Accordingly, we use time-series data eight from January 1, 2020, December 31, 2020. We then run DCC-GARCH method analyze better correlation between assets abnormalities stock return distributions. The findings demonstrate tha...