Loan commitments represent more than 82 percent of all commercial and industrial loans by domestic banks. This paper develops a valuation model for loan commitments incorporating early exercise, multiple fees, partial exercise and credit risk. The model is analytically tractable and easy to implement. Using a sample of commercial paper backup credit lines from the Dealscan database, we show tha...

Many financial products contain prepayment options. Loan contracts are often structured to provide the borrower with the option to prepay the loan at any time, or on specific dates, prior to the maturity date of the loan. These options are important aspects of these financial products. The most commonly encountered investment product with these feature is the mortgage backed security. Investmen...

2008 financial crisis has led to a differentiation in the traditional monetary and fiscal policies implemented by economies. With 2013 global recession, 2018 squeezing pandemic process, economic stability tried ensured structural besides policies. Especially deepening exchange rate volatility brought concept of stabilization dollarization back agenda. In this research, it is aimed examine chang...

A day almost like any other … Mamadou Djiré is in charge of the Djicoroni Para outlet in Bamako, Mali. He is opening up the financial coop because several members will be arriving to withdraw funds from their current accounts or make deposits to cover loan payments. Mamadou takes out the cash drawer from the strongbox opens up his teller window and turns on the pocket computer with its AMIO Tel...

A dramatic rise in subprime foreclosures over the past several years has led to calls for restrictions of, or prohibitions against, a range of lending practices loosely termed “predatory.” Several cities and states have enacted legislation or regulations aimed at eliminating predatory practices, and some advocacy groups have endorsed action nationally. This working paper uses data from the Chic...

This paper studies the relation between implied and realized volatility by using daily S&P 500 index option price over the period between January 1995 and December 1999. In particular, we want to test the how different measurement errors affect the stability of this relationship. Two sources of measurement errors are considered. The first one is the measurement error in realized volatility. Fou...

Introduction