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Zvi Wiener

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Yevgeny Mugerman & Nadav Steinberg & Zvi Wiener, 2019. "The Exclamation Mark of Cain: Risk Salience and Mutual Fund Flows," Bank of Israel Working Papers 2019.09, Bank of Israel.

    Cited by:

    1. Abudy, Menachem (Meni) & Shust, Efrat, 2023. "Does market design contribute to market stability? Indications from a corporate bond exchange during the COVID-19 crisis," Journal of Economics and Business, Elsevier, vol. 123(C).
    2. Abudy, Menachem Meni, 2020. "Retail investors’ trading and stock market liquidity," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    3. Noam Ben-Ze'ev, 2023. "Drivers of Flows-Performance Sensitivity in Mutual Funds," Bank of Israel Working Papers 2023.06, Bank of Israel.
    4. Becker, Martin G. & Martin, Fabio & Walter, Andreas, 2022. "The power of ESG transparency: The effect of the new SFDR sustainability labels on mutual funds and individual investors," Finance Research Letters, Elsevier, vol. 47(PB).
    5. Gavious, Ilanit & Jacoby, Tomer & Milo, Orit, 2023. "Economic consequences of building a cross-country barrier among alternative policies to deal with unauthorized immigration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).

  2. Zvi Wiener & Dan Galai, 2009. "Credit Risk Spreads in Local and Foreign Currencies," IMF Working Papers 2009/110, International Monetary Fund.

    Cited by:

    1. Brown, Martin & De Haas, Ralph & Sokolov, Vladimir, 2013. "Regional Inflation and Financial Dollarization," Working Papers on Finance 1327, University of St. Gallen, School of Finance.
    2. Miloš Božović & Branko Urošević & Boško Živković, 2009. "On The Spillover Of Exchangerate Risk Into Default Risk," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 54(183), pages 32-55, October -.
    3. de Haas, R. & Brown, M. & Sokolov, V., 2015. "Regional Inflation, Financial Integration and Dollarization," Other publications TiSEM ef569549-635c-490c-b44c-2, Tilburg University, School of Economics and Management.
    4. de Haas, R. & Brown, M. & Sokolov, V., 2015. "Regional Inflation, Financial Integration and Dollarization (This is a revision of CentER DP 2013-073)," Other publications TiSEM c29568c0-0139-47e1-b7e2-3, Tilburg University, School of Economics and Management.
    5. Martin Brown & Ralph De Haas & Vladimir Sokolov, 2013. "Regional inflation and financial dollarisation," Working Papers 163, European Bank for Reconstruction and Development, Office of the Chief Economist.
    6. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
    7. Ephraim Clark & Selima Baccar, 2018. "Modelling credit spreads with time volatility, skewness, and kurtosis," Annals of Operations Research, Springer, vol. 262(2), pages 431-461, March.
    8. Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
    9. Clark, Ephraim & Kassimatis, Konstantinos, 2015. "Macroeconomic effects on emerging-markets sovereign credit spreads," Journal of Financial Stability, Elsevier, vol. 20(C), pages 1-13.

  3. Michael Goldstein & Paul Irvine & Eugene Kandel & Zvi Wiener, 2004. "Brokerage Commissions and Institutional Trading Patterns," Discussion Paper Series dp356, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.

    Cited by:

    1. Chung, Sung Gon & Kulchania, Manoj & Teo, Melvyn, 2021. "Hedge funds and their prime broker analysts," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 141-158.
    2. Bartling, Björn & Park, Andreas, 2009. "What determines the level of IPO gross spreads? Underwriter profits and the cost of going public," International Review of Economics & Finance, Elsevier, vol. 18(1), pages 81-109, January.
    3. Paul Brockman & Dennis Y. Chung & Kenneth W. Shaw, 2017. "The R&D-abnormal return anomaly: a transaction cost explanation," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 385-406, February.
    4. Bhattacharya, Utpal & Wei, Kelsey D. & Xia, Han, 2019. "Follow the money: Investor trading around investor-paid credit rating changes," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 68-91.
    5. Edelen, Roger M. & Evans, Richard B. & Kadlec, Gregory B., 2012. "Disclosure and agency conflict: Evidence from mutual fund commission bundling," Journal of Financial Economics, Elsevier, vol. 103(2), pages 308-326.
    6. Johannes A. Skjeltorp & Elvira Sojli & Wing Wah Tham, 2011. "Sunshine trading: Flashes of trading intent at the NASDAQ," Working Paper 2011/17, Norges Bank.
    7. Edward Sun & Timm Kruse & Min-Teh Yu, 2015. "Financial Transaction Tax: Policy Analytics Based on Optimal Trading," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 103-141, June.
    8. Kedia, Simi & Zhou, Xing, 2011. "Local market makers, liquidity and market quality," Journal of Financial Markets, Elsevier, vol. 14(4), pages 540-567, November.
    9. Lynch, Andrew & Puckett, Andy & Yan, Xuemin (Sterling), 2014. "Institutions and the turn-of-the-year effect: Evidence from actual institutional trades," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 56-68.
    10. Edward W. Sun & Timm Kruse & Yi-Ting Chen, 2019. "Stylized algorithmic trading: satisfying the predictive near-term demand of liquidity," Annals of Operations Research, Springer, vol. 281(1), pages 315-347, October.
    11. David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
    12. Anand, Amber & Irvine, Paul & Liu, Tingting, 2019. "Does institutional trading affect underwriting?," Journal of Corporate Finance, Elsevier, vol. 58(C), pages 1-1.
    13. Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A., 2012. "Institutional ownership, analyst following, and share prices," Journal of Banking & Finance, Elsevier, vol. 36(8), pages 2175-2189.
    14. Marco Di Maggio & Mark L. Egan & Francesco Franzoni, 2019. "The Value of Intermediation in the Stock Market," NBER Working Papers 26147, National Bureau of Economic Research, Inc.
    15. Chen, Huaizhi & Cohen, Lauren & Gurun, Umit & Lou, Dong & Malloy, Christopher, 2020. "IQ from IP: Simplifying search in portfolio choice," Journal of Financial Economics, Elsevier, vol. 138(1), pages 118-137.
    16. Qin Lei & Murli Rajan & Xuewu Wang, 2012. "An empirical analysis of corporate insiders' trading performance," China Finance Review International, Emerald Group Publishing Limited, vol. 2(3), pages 246-264, June.
    17. Gormley, Todd A. & Kaplan, Zachary & Verma, Aadhaar, 2022. "More informative disclosures, less informative prices? Portfolio and price formation around quarter-ends," Journal of Financial Economics, Elsevier, vol. 146(2), pages 665-688.
    18. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2013. "ETF arbitrage: Intraday evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3486-3498.
    19. Franzoni, Francesco & Di Maggio, Marco & Egan, Mark, 2019. "The Value of Intermediation in the Stock Market," CEPR Discussion Papers 13936, C.E.P.R. Discussion Papers.
    20. Umit G. Gurun & Rick Johnston & Stanimir Markov, 2016. "Sell-Side Debt Analysts and Debt Market Efficiency," Management Science, INFORMS, vol. 62(3), pages 682-703, March.
    21. Daniel Bradley & Sinan Gokkaya & Xi Liu, 2020. "Ties That Bind: The Value of Professional Connections to Sell-Side Analysts," Management Science, INFORMS, vol. 66(9), pages 4118-4151, September.
    22. Tamara Nefedova & Giuseppe Pratobevera, 2020. "Do institutional investors play hide-and-sell in the IPO aftermarket?," Post-Print hal-03071724, HAL.
    23. Andrea Barbon & Marco Di Maggio & Francesco A. Franzoni & Augustin Landier, 2017. "Brokers and Order Flow Leakage: Evidence from Fire Sales," Swiss Finance Institute Research Paper Series 17-61, Swiss Finance Institute, revised Jun 2018.
    24. Rob Brown & Howard W. H. Chan & Robert W. Faff & Yew Kee Ho, 2019. "Do brokers' recommendation changes generate brokerage? Evidence from a central limit order market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(1), pages 115-142, March.
    25. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2021. "Optimal investment, derivative demand, and arbitrage under price impact," Mathematical Finance, Wiley Blackwell, vol. 31(1), pages 3-35, January.
    26. Kumar, Nitish & Mullally, Kevin & Ray, Sugata & Tang, Yuehua, 2020. "Prime (information) brokerage," Journal of Financial Economics, Elsevier, vol. 137(2), pages 371-391.
    27. Di Maggio, Marco & Egan, Mark & Franzoni, Francesco, 2022. "The value of intermediation in the stock market," Journal of Financial Economics, Elsevier, vol. 145(2), pages 208-233.
    28. Gennaro Bernile & Alok Kumar & Johan Sulaeman & Qin Wang, 2019. "Has local informational advantage disappeared?," Review of Financial Economics, John Wiley & Sons, vol. 37(1), pages 38-60, January.
    29. Alexander, Gordon J. & Peterson, Mark A., 2007. "An analysis of trade-size clustering and its relation to stealth trading," Journal of Financial Economics, Elsevier, vol. 84(2), pages 435-471, May.
    30. Pacelli, Joseph, 2019. "Corporate culture and analyst catering⁎," Journal of Accounting and Economics, Elsevier, vol. 67(1), pages 120-143.
    31. Michael Drake & Peter Joos & Joseph Pacelli & Brady Twedt, 2020. "Analyst Forecast Bundling," Management Science, INFORMS, vol. 66(9), pages 4024-4046, September.
    32. Debaere, Peter & Evans, Richard B., 2015. "Outsourcing vs. Integration in the Mutual Fund Industry: An Incomplete Contracting Perspective," CEPR Discussion Papers 10599, C.E.P.R. Discussion Papers.
    33. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.
    34. Nathan Swem, 2017. "Information in Financial Markets : Who Gets It First?," Finance and Economics Discussion Series 2017-023, Board of Governors of the Federal Reserve System (U.S.).
    35. Bernile, Gennaro & Hu, Jianfeng & Tang, Yuehua, 2016. "Can information be locked up? Informed trading ahead of macro-news announcements," Journal of Financial Economics, Elsevier, vol. 121(3), pages 496-520.
    36. Edward W. Sun & Timm Kruse, 2013. "Economic Modeling for Optimal Trading of Financial Asset in Volatile Market," Economics Bulletin, AccessEcon, vol. 33(3), pages 1788-1795.
    37. Zhe Chen & F. Douglas Foster & David R. Gallagher & Adrian D. Lee & Steven Cahan, 2015. "A model of emulation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 55(3), pages 717-748, September.
    38. Rinne, Kalle & Suominen, Matti, 2017. "How some bankers made a million by trading just two securities?," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 304-315.
    39. Busse, Jeffrey A. & Clifton Green, T. & Jegadeesh, Narasimhan, 2012. "Buy-side trades and sell-side recommendations: Interactions and information content," Journal of Financial Markets, Elsevier, vol. 15(2), pages 207-232.
    40. Haziza, Mor M. & Kalay, Avner, 2020. "Trust and delegation: A case to consider on broker rebates and investor sophistication," Journal of Financial Markets, Elsevier, vol. 49(C).
    41. Davis, Frederick & Khadivar, Hamed & Walker, Thomas J., 2021. "Institutional trading in firms rumored to be takeover targets," Journal of Corporate Finance, Elsevier, vol. 66(C).
    42. Grant, Andrew & Jarnecic, Elvis & Su, Mark, 2015. "Asymmetric effects of sell-side analyst optimism and broker market share by clientele," Journal of Financial Markets, Elsevier, vol. 24(C), pages 49-65.
    43. Niehaus, Greg & Zhang, Donghang, 2010. "The impact of sell-side analyst research coverage on an affiliated broker's market share of trading volume," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 776-787, April.
    44. Azi Ben-Rephael & Ryan D Israelsen, 2018. "Are Some Clients More Equal Than Others? An Analysis of Asset Management Companies’ Execution Costs [An analysis of trade-size clustering and its relation to stealth trading]," Review of Finance, European Finance Association, vol. 22(5), pages 1705-1736.
    45. Anand, Amber & Irvine, Paul & Puckett, Andy & Venkataraman, Kumar, 2013. "Institutional trading and stock resiliency: Evidence from the 2007–2009 financial crisis," Journal of Financial Economics, Elsevier, vol. 108(3), pages 773-797.
    46. Hu, Gang, 2009. "Measures of implicit trading costs and buy-sell asymmetry," Journal of Financial Markets, Elsevier, vol. 12(3), pages 418-437, August.
    47. Lipson, Marc L. & Mortal, Sandra, 2006. "The effect of stock splits on clientele: Is tick size relevant?," Journal of Corporate Finance, Elsevier, vol. 12(5), pages 878-896, December.
    48. Bartram, Söhnke & Djuranovik, Leslie & Garratt, Anthony, 2021. "Currency Anomalies," CEPR Discussion Papers 15653, C.E.P.R. Discussion Papers.
    49. Huang, Haozhi & Li, Mingsheng & Shi, Jing, 2016. "Which matters: “Paying to play” or stable business relationship? Evidence on analyst recommendation and mutual fund commission fee payment," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 403-423.
    50. Fernando, Chitru S. & Gatchev, Vladimir A. & Spindt, Paul A., 2010. "Institutional Ownership, Analyst Following and Share Prices," Working Papers 10-07, University of Pennsylvania, Wharton School, Weiss Center.
    51. Anand, Amber & Chakravarty, Sugato & Chuwonganant, Chairat, 2009. "Cleaning house: Stock reassignments on the NYSE," Journal of Financial Markets, Elsevier, vol. 12(4), pages 727-753, November.
    52. Hu, Gang & Jo, Koren M. & Wang, Yi Alex & Xie, Jing, 2018. "Institutional trading and Abel Noser data," Journal of Corporate Finance, Elsevier, vol. 52(C), pages 143-167.
    53. Daniel Bradley & Russell Jame & Jared Williams, 2022. "Non‐Deal Roadshows, Informed Trading, and Analyst Conflicts of Interest," Journal of Finance, American Finance Association, vol. 77(1), pages 265-315, February.
    54. Green, T. Clifton & Jame, Russell, 2011. "Strategic trading by index funds and liquidity provision around S&P 500 index additions," Journal of Financial Markets, Elsevier, vol. 14(4), pages 605-624, November.
    55. Green, T. Clifton & Jame, Russell & Markov, Stanimir & Subasi, Musa, 2014. "Broker-hosted investor conferences," Journal of Accounting and Economics, Elsevier, vol. 58(1), pages 142-166.
    56. Jon A. Fulkerson & Timothy B. Riley, 2017. "Mutual Fund Liquidity Costs," Financial Management, Financial Management Association International, vol. 46(2), pages 359-375, June.
    57. He, Peng William & Jarnecic, Elvis & Liu, Yubo, 2016. "Equity issues and the impact of lead manager affiliation on broker market share and trading volume," Pacific-Basin Finance Journal, Elsevier, vol. 38(C), pages 17-33.
    58. Michail Anthropelos & Scott Robertson & Konstantinos Spiliopoulos, 2018. "Optimal Investment, Demand and Arbitrage under Price Impact," Papers 1804.09151, arXiv.org, revised Dec 2018.
    59. Andrew Lepone & Henry Leung & J George Li, 2013. "Unequal access to analyst research," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 253-277, August.
    60. Eaton, Gregory W. & Irvine, Paul J. & Liu, Tingting, 2021. "Measuring institutional trading costs and the implications for finance research: The case of tick size reductions," Journal of Financial Economics, Elsevier, vol. 139(3), pages 832-851.
    61. Jeffrey A. Busse & Tarun Chordia & Lei Jiang & Yuehua Tang, 2021. "Transaction Costs, Portfolio Characteristics, and Mutual Fund Performance," Management Science, INFORMS, vol. 67(2), pages 1227-1248, February.
    62. Elia Zarinelli & Michele Treccani & J. Doyne Farmer & Fabrizio Lillo, 2014. "Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate," Papers 1412.2152, arXiv.org.
    63. Fr'ed'eric Bucci & Iacopo Mastromatteo & Zolt'an Eisler & Fabrizio Lillo & Jean-Philippe Bouchaud & Charles-Albert Lehalle, 2018. "Co-impact: Crowding effects in institutional trading activity," Papers 1804.09565, arXiv.org, revised Jul 2018.
    64. Chen, Huaizhi & Cohen, Lauren & Gurun, Umit & Lou, Dong & Malloy, Christopher, 2020. "IQ from IP: simplifying search in portfolio choice," LSE Research Online Documents on Economics 101133, London School of Economics and Political Science, LSE Library.
    65. Pätäri, Eero & Ahmed, Sheraz & Luukka, Pasi & Yeomans, Julian Scott, 2023. "Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    66. Chakravarty, Sugato & Ray, Rina, 2020. "On short-term institutional trading skill, behavioral biases, and liquidity need," Journal of Corporate Finance, Elsevier, vol. 65(C).
    67. Marco Di Maggio & Francesco Franzoni & Amir Kermani & Carlo Sommavilla, 2017. "The Relevance of Broker Networks for Information Diffusion in the Stock Market," NBER Working Papers 23522, National Bureau of Economic Research, Inc.
    68. Bingxu Fang & Ole-Kristian Hope & Zhongwei Huang & Rucsandra Moldovan, 2020. "The effects of MiFID II on sell-side analysts, buy-side analysts, and firms," Review of Accounting Studies, Springer, vol. 25(3), pages 855-902, September.
    69. Zhe Chen & F Douglas Foster & David R Gallagher & Adrian D Lee, 2013. "Does portfolio emulation outperform its target funds?," Australian Journal of Management, Australian School of Business, vol. 38(2), pages 401-427, August.
    70. Edelen, Roger M. & Kadlec, Gregory B., 2012. "Delegated trading and the speed of adjustment in security prices," Journal of Financial Economics, Elsevier, vol. 103(2), pages 294-307.
    71. Yuyan Guan & Congcong Li & Hai Lu & M. H. Franco Wong, 2019. "Regulations and Brain Drain: Evidence from Wall Street Star Analysts’ Career Choices," Management Science, INFORMS, vol. 65(12), pages 5766-5784, December.
    72. Juan Eberhard & Jaime F. Lavín & Alejandro Montecinos-Pearce & José Arenas, 2019. "Analyzing Stock Brokers’ Trading Patterns: A Network Decomposition and Spatial Econometrics Approach," Complexity, Hindawi, vol. 2019, pages 1-18, July.
    73. O’Donoghue, Shawn M., 2022. "Transaction fees: Impact on institutional order types, commissions, and execution quality," Journal of Financial Markets, Elsevier, vol. 60(C).

  4. Dan Galai & Alon Raviv & Zvi Wiener, 2003. "Liquidation Triggers and the Valuation of Equity and Debt," Finance 0305002, University Library of Munich, Germany.

    Cited by:

    1. Annabi, Amira & Breton, Michèle & François, Pascal, 2012. "Resolution of financial distress under Chapter 11," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1867-1887.
    2. Abínzano, Isabel & Seco, Luis & Escobar, Marcos & Olivares, Pablo, 2009. "Single and Double Black-Cox: Two approaches for modelling debt restructuring," Economic Modelling, Elsevier, vol. 26(5), pages 910-917, September.
    3. Roman N. Makarov, 2016. "Modeling liquidation risk with occupation times," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-11, December.
    4. Martina Nardon, 2005. "Valuing defaultable bonds: an excursion time approach," Finance 0511015, University Library of Munich, Germany.
    5. Dionne, Georges & Laajimi, Sadok, 2011. "On the determinants of the implied default barrier," Working Papers 09-2, HEC Montreal, Canada Research Chair in Risk Management.
    6. Ayadi, Mohamed A. & Ben-Ameur, Hatem & Fakhfakh, Tarek, 2016. "A dynamic program for valuing corporate securities," European Journal of Operational Research, Elsevier, vol. 249(2), pages 751-770.
    7. Winsen, Joseph K., 2010. "An overview of project finance binomial loan valuation," Review of Financial Economics, Elsevier, vol. 19(2), pages 84-89, April.
    8. Maclachlan, Iain C, 2007. "An empirical study of corporate bond pricing with unobserved capital structure dynamics," MPRA Paper 28416, University Library of Munich, Germany.
    9. Dean Corbae & Pablo D'Erasmo, 2017. "Reorganization or Liquidation: Bankruptcy Choice and Firm Dynamics," NBER Working Papers 23515, National Bureau of Economic Research, Inc.
    10. Abel Elizalde, 2006. "Credit Risk Models II: Structural Models," Working Papers wp2006_0606, CEMFI.
    11. Li, Xin & Liu, Haibo & Tang, Qihe & Zhu, Jinxia, 2020. "Liquidation risk in insurance under contemporary regulatory frameworks," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 36-49.
    12. Christensen, Peter Ove & Flor, Christian Riis & Lando, David & Miltersen, Kristian R., 2014. "Dynamic capital structure with callable debt and debt renegotiations," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 644-661.
    13. Annabi, Amira & Breton, Michèle & François, Pascal, 2012. "Game theoretic analysis of negotiations under bankruptcy," European Journal of Operational Research, Elsevier, vol. 221(3), pages 603-613.
    14. Joseph K. Winsen, 2010. "An overview of project finance binomial loan valuation," Review of Financial Economics, John Wiley & Sons, vol. 19(2), pages 84-89, April.
    15. Galai, Dan & Wiener, Zvi, 2008. "Stakeholders and the composition of the voting rights of the board of directors," Journal of Corporate Finance, Elsevier, vol. 14(2), pages 107-117, April.
    16. Nguyen, Duy Phat & Borovkov, Konstantin, 2023. "Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 72-81.
    17. Makarov, R. & Metzler, A. & Ni, Z., 2015. "Modelling default risk with occupation times," Finance Research Letters, Elsevier, vol. 13(C), pages 54-65.
    18. François, Pascal & Naqvi, Hassan, 2023. "Secured and unsecured debt in creditor-friendly bankruptcy," Journal of Corporate Finance, Elsevier, vol. 80(C).
    19. Giuseppe Campolieti & Hiromichi Kato & Roman N. Makarov, 2022. "Spectral Expansions for Credit Risk Modelling with Occupation Times," Risks, MDPI, vol. 10(12), pages 1-20, November.
    20. Bruche, Max & Naqvi, Hassan, 2010. "A structural model of debt pricing with creditor-determined liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 951-967, May.
    21. Antill, Samuel & Grenadier, Steven R., 2019. "Optimal capital structure and bankruptcy choice: Dynamic bargaining versus liquidation," Journal of Financial Economics, Elsevier, vol. 133(1), pages 198-224.
    22. Stefano Giglio & Kelly Shue, 2013. "No News is News: Do Markets Underreact to Nothing?," NBER Working Papers 18914, National Bureau of Economic Research, Inc.
    23. Lee, Cheng-Few & Lee, Kin-Wai & Yeo, Gillian Hian-Heng, 2009. "Investor protection and convertible debt design," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 985-995, June.
    24. Reisz, Alexander S. & Perlich, Claudia, 2007. "A market-based framework for bankruptcy prediction," Journal of Financial Stability, Elsevier, vol. 3(2), pages 85-131, July.
    25. Raviv, Alon & Hilscher, Jens & Peleg Lazar, Sharon, 2021. "Designing bankers' pay: Using contingent capital to reduce risk-shifting," MPRA Paper 106596, University Library of Munich, Germany.
    26. Liu, Liang-Chih & Dai, Tian-Shyr & Wang, Chuan-Ju, 2016. "Evaluating corporate bonds and analyzing claim holders’ decisions with complex debt structure," Journal of Banking & Finance, Elsevier, vol. 72(C), pages 151-174.
    27. International Association of Deposit Insurers, 2011. "Evaluation of Deposit Insurance Fund Sufficiency on the Basis of Risk Analysis," IADI Research Papers 11-11, International Association of Deposit Insurers.
    28. Annabi, Amira & Breton, Michèle & François, Pascal, 2021. "Could Chapter 11 redeem itself? Wealth and welfare effects of the redemption option," International Review of Law and Economics, Elsevier, vol. 67(C).

  5. Barry O'Neill & Dov Samet & Zvi Wiener & Eyal Winter, 2002. "Bargaining with an Agenda," Discussion Paper Series dp315, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.

    Cited by:

    1. Julián Arévalo, 2004. "Negociación Nash Gradual con Agenda Endógena: Un Modelo Trayectoria-Dependiente," Game Theory and Information 0407001, University Library of Munich, Germany.
    2. Kibris, Ozgur, 2004. "Egalitarianism in ordinal bargaining: the Shapley-Shubik rule," Games and Economic Behavior, Elsevier, vol. 49(1), pages 157-170, October.
    3. Guillaume Rocheteau & Tai-Wei Hu & Lucie Lebeau & Younghwan In, 2021. "Gradual Bargaining in Decentralized Asset Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 42, pages 72-109, October.
    4. van Buggenum, Hugo, 2021. "Coexistence of Money and Interest-Bearing Bonds," Other publications TiSEM 0bd7c6fc-3779-4bf3-9100-0, Tilburg University, School of Economics and Management.
    5. van Buggenum, Hugo, 2023. "Coexistence of money and interest-bearing bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
    6. Joan-Maria Esteban & József Sákovics, 2005. "A Theory of Agreements in the Shadow of Conflict," Working Papers 255, Barcelona School of Economics.
    7. van Buggenum, Hugo, 2021. "Banks and financial markets in microfounded models of money," Other publications TiSEM f6e8dc53-9a1b-4f66-9cef-b, Tilburg University, School of Economics and Management.
    8. Zvi Safra & Dov Samet, 2003. "An ordinal solution to bargaining problems with many players," Game Theory and Information 0310002, University Library of Munich, Germany.
    9. Guillaume Rocheteau & Ed Nosal, 2008. "Pairwise Trade, Asset Prices and Monetary Policy," 2008 Meeting Papers 774, Society for Economic Dynamics.
    10. Samet, Dov, 2009. "What if Achilles and the tortoise were to bargain? An argument against interim agreements," MPRA Paper 23370, University Library of Munich, Germany.
    11. Perez-Castrillo, David & Wettstein, David, 2006. "An ordinal Shapley value for economic environments," Journal of Economic Theory, Elsevier, vol. 127(1), pages 296-308, March.
    12. Amparo Mármol & Clara Ponsatí, 2008. "Bargaining over multiple issues with maximin and leximin preferences," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 30(2), pages 211-223, February.
    13. Aviad Heifetz & Clara Ponsati, 2007. "All in good time," International Journal of Game Theory, Springer;Game Theory Society, vol. 35(4), pages 521-538, April.
    14. Christopher Waller & Guillaume Rocheteau, 2005. "Bargaining in Monetary Economies," 2005 Meeting Papers 55, Society for Economic Dynamics.
    15. Philip Grech & Oriol Tejada, 2018. "Divide the dollar and conquer more: sequential bargaining and risk aversion," International Journal of Game Theory, Springer;Game Theory Society, vol. 47(4), pages 1261-1286, November.
    16. Diskin, A. & Koppel, M. & Samet, D., 2011. "Generalized Raiffa solutions," Games and Economic Behavior, Elsevier, vol. 73(2), pages 452-458.
    17. Geoffroy de Clippel & Camelia Bejan, 2009. "No Profitable Decomposition in Quasi-Linear Allocation Problems," Working Papers 2009-6, Brown University, Department of Economics.
    18. Nicolo, Antonio & Perea, Andres, 2005. "Monotonicity and equal-opportunity equivalence in bargaining," Mathematical Social Sciences, Elsevier, vol. 49(2), pages 221-243, March.
    19. Joan Esteban & József Sákovics, 2008. "A Theory of Agreements in the Shadow of Conflict: The Genesis of Bargaining Power," Theory and Decision, Springer, vol. 65(3), pages 227-252, November.
    20. Joan Esteban & József Sákovics, 2002. "Endogenous bargaining power," Economics Working Papers 644, Department of Economics and Business, Universitat Pompeu Fabra.
    21. Vidal-Puga, Juan, 2015. "A non-cooperative approach to the ordinal Shapley–Shubik rule," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 111-118.
    22. Guillaume Rocheteau & Lucie Lebeau & Tai-Wei Hu & Younghwan In, 2018. "Gradual Bargaining in Decentralized Asset Markets," Working Papers 181904, University of California-Irvine, Department of Economics.
    23. Julian J. Arevalo, 2005. "Gradual Nash Bargaining with Endogenous Agenda: A Path-Dependent Model," Game Theory and Information 0502004, University Library of Munich, Germany.
    24. Guillaume Rocheteau & Christopher J. Waller, 2005. "Bargaining and the value of money," Working Papers (Old Series) 0501, Federal Reserve Bank of Cleveland.
    25. Hu, Tai-Wei & Rocheteau, Guillaume, 2020. "Bargaining under liquidity constraints: Unified strategic foundations of the Nash and Kalai solutions," Journal of Economic Theory, Elsevier, vol. 189(C).
    26. Tai-Wei Hu & Guillaume Rocheteau & Lucie Lebeau & Younghwan In, 2018. "Gradual Bargaining in Decentralized Asset Markets," 2018 Meeting Papers 606, Society for Economic Dynamics.
    27. Calvo, Emilio & Peters, Hans, 2005. "Bargaining with ordinal and cardinal players," Games and Economic Behavior, Elsevier, vol. 52(1), pages 20-33, July.

  6. Benninga, Simon & Björk, Tomas & Wiener, Zvi, 2002. "On the Use of Numeraires in Option pricing," SSE/EFI Working Paper Series in Economics and Finance 484, Stockholm School of Economics.

    Cited by:

    1. Nikolai Dokuchaev, 2018. "On the implied market price of risk under the stochastic numéraire," Annals of Finance, Springer, vol. 14(2), pages 223-251, May.
    2. Yoram Landskroner & Alon Raviv, 2008. "The valuation of inflation‐indexed and FX convertible bonds," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(7), pages 634-655, July.
    3. Jui‐Jane Chang & Son‐Nan Chen & Ting‐Pin Wu, 2013. "Currency‐Protected Swaps and Swaptions with Nonzero Spreads in a Multicurrency LMM," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 827-867, September.
    4. Hyong-Chol O & Dae-Sung Choe, 2019. "Pricing Formulae of Power Binary and Normal Distribution Standard Options and Applications," Papers 1903.04106, arXiv.org.
    5. Raquel M. Gaspar & Mariana Khapko, 2023. "In memoriam: Tomas Björk (1947–2021)," Finance and Stochastics, Springer, vol. 27(4), pages 867-885, October.
    6. Sergei Belkov & Igor V. Evstigneev & Thorsten Hens, 2020. "An evolutionary finance model with a risk-free asset," Annals of Finance, Springer, vol. 16(4), pages 593-607, December.
    7. Hyong-chol O & Yong-hwa Ro & Ning Wan, 2013. "The Use of Numeraires in Multi-dimensional Black-Scholes Partial Differential Equations," Papers 1310.8296, arXiv.org, revised Jul 2014.
    8. Hyong-chol O & Yong-hwa Ro & Ning Wan, 2014. "A Method of Reducing Dimension of Space Variables in Multi-dimensional Black-Scholes Equations," Papers 1406.2053, arXiv.org.
    9. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
    10. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
    11. Nikolai Dokuchaev, 2011. "On martingale measures and pricing for continuous bond-stock market with stochastic bond," Papers 1108.0719, arXiv.org, revised Sep 2014.
    12. Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, University Library of Munich, Germany.
    13. Markus Leippold & Zvi Wiener, 2005. "Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models," Review of Derivatives Research, Springer, vol. 7(3), pages 213-239, October.
    14. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.
    15. Ravi Kashyap, 2016. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Papers 1609.01274, arXiv.org, revised Mar 2022.

  7. Goshen, Zohar & Wiener, Zvi, 2000. "The Value of the Freezeout Option," Berkeley Olin Program in Law & Economics, Working Paper Series qt4ts4k8gc, Berkeley Olin Program in Law & Economics.

    Cited by:

    1. Maug, Ernst, 2006. "Efficiency and fairness in minority freezeouts: Takeovers, overbidding, and the freeze-in problem," International Review of Law and Economics, Elsevier, vol. 26(3), pages 355-379, September.

  8. Bruce D. Grundy & Zvi Wiener, "undated". "The Analysis of VAR, Deltas and State Prices: A New Approach," Rodney L. White Center for Financial Research Working Papers 11-96, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Bakshi, Gurdip & Madan, Dilip, 2000. "Spanning and derivative-security valuation," Journal of Financial Economics, Elsevier, vol. 55(2), pages 205-238, February.
    2. Young, Virginia R. & Zariphopoulou, Thaleia, 2000. "Computation of distorted probabilities for diffusion processes via stochastic control methods," Insurance: Mathematics and Economics, Elsevier, vol. 27(1), pages 1-18, August.
    3. Beeck, Helmut & Johanning, Lutz & Rudolph, Bernd, 1997. "Value-at-Risk-Limitstrukturen zur Steuerung und Begrenzung von Marktrisiken im Aktienbereich," CFS Working Paper Series 1997/02, Center for Financial Studies (CFS).

  9. Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, "undated". "Theory of Rational Option Pricing: II (Revised: 1-96)," Rodney L. White Center for Financial Research Working Papers 11-95, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," Working Papers hal-00606071, HAL.
    2. Mark Broadie & Jérôme Detemple, 1996. "American Options on Dividend-Paying Assets," CIRANO Working Papers 96s-16, CIRANO.
    3. RØdiger Frey, 1998. "Perfect option hedging for a large trader," Finance and Stochastics, Springer, vol. 2(2), pages 115-141.

  10. Yaacov Z. Bergman & Bruce D. Grundy & Zvi Wiener, "undated". "General Properties of Option Prices (Revision of 11-95) (Reprint 058)," Rodney L. White Center for Financial Research Working Papers 01-96, Wharton School Rodney L. White Center for Financial Research.

    Cited by:

    1. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
    2. Han, Xingyu, 2018. "Pricing and hedging vulnerable option with funding costs and collateral," Chaos, Solitons & Fractals, Elsevier, vol. 112(C), pages 103-115.
    3. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    4. Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006. "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 399-428, March.
    5. Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies.
    6. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Co-movements of Index Options and Futures Quotes," Working Paper Series 2006-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    7. Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Parsiad Azimzadeh & Peter A. Forsyth, 2015. "The existence of optimal bang-bang controls for GMxB contracts," Papers 1502.05743, arXiv.org, revised Nov 2015.
    9. Jos� Fajardo & Ernesto Mordecki, 2014. "Skewness premium with L�vy processes," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1619-1626, September.
    10. Chuang Yuang Lin & Dar Hsin Chen & Chin Yu Tsai, 2011. "The limitation of monotonicity property of option prices: an empirical evidence," Applied Economics, Taylor & Francis Journals, vol. 43(23), pages 3103-3113.
    11. I‐Doun Kuo & Yueh‐Neng Lin, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 23-32, January.
    12. Robert R. Bliss, 2000. "The pitfalls in inferring risk from financial market data," Working Paper Series WP-00-24, Federal Reserve Bank of Chicago.
    13. Jones, Christopher S., 2003. "The dynamics of stochastic volatility: evidence from underlying and options markets," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 181-224.
    14. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
    15. Luis H. R. Alvarez & Erkki Koskela, 2001. "Wicksellian Theory of Forest Rotation under Interest Rate Variability," CESifo Working Paper Series 606, CESifo.
    16. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    17. Hyong-Chol O & Tae-Song Choe, 2022. "General properties of the Solutions to Moving Boundary Problems for Black-Sholes Equations," Papers 2203.05726, arXiv.org.
    18. Glover, Kristoffer J. & Hambusch, Gerhard, 2016. "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 1-21.
    19. Reint Gropp & Jukka M. Vesala & Giuseppe Vulpes, 2004. "Market indicators, bank fragility, and indirect market discipline," Economic Policy Review, Federal Reserve Bank of New York, issue Sep, pages 53-62.
    20. Rasmussen, Nicki Søndergaard, 2002. "Hedging with a Misspecified Model," Finance Working Papers 02-15, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    21. Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa, 2010. "Market pricing of executive stock options and implied risk preferences," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 394-412, June.
    22. Li, Minqiang, 2009. "A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes," MPRA Paper 17348, University Library of Munich, Germany.
    23. Balder, Sven & Brandl, Michael & Mahayni, Antje, 2009. "Effectiveness of CPPI strategies under discrete-time trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 204-220, January.
    24. Alexander David & Pietro Veronesi, 1999. "Option prices with uncertain fundamentals theory and evidence on the dynamics of implied volatilities," Finance and Economics Discussion Series 1999-47, Board of Governors of the Federal Reserve System (U.S.).
    25. Chung, San-Lin & Wang, Yaw-Huei, 2008. "Bounds and prices of currency cross-rate options," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 631-642, May.
    26. Kuo, I-Doun & Lin, Yueh-Neng, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, Elsevier, vol. 18(1), pages 23-32, January.
    27. Mele, Antonio, 2004. "General Properties of Rational Stock-Market Fluctuations," Economics Series 153, Institute for Advanced Studies.
    28. Jérôme Detemple & Carlton Osakwe, 2000. "The Valuation of Volatility Options," Review of Finance, European Finance Association, vol. 4(1), pages 21-50.
    29. David Hobson, 2010. "Comparison results for stochastic volatility models via coupling," Finance and Stochastics, Springer, vol. 14(1), pages 129-152, January.
    30. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
    31. Juho Kanniainen & Robert Pich'e, 2012. "Stock Price Dynamics and Option Valuations under Volatility Feedback Effect," Papers 1209.4718, arXiv.org.
    32. Yue, Tian & Zhang, Jin E. & Tan, Eric K.M., 2020. "The Chinese equity index options market," Emerging Markets Review, Elsevier, vol. 45(C).
    33. José Fajardo & Ernesto Mordecki, 2009. "Skewness Premium with Lévy Processes," CREATES Research Papers 2009-10, Department of Economics and Business Economics, Aarhus University.
    34. Ekström, Erik, 2004. "Properties of American option prices," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 265-278, December.
    35. Mahayni, Antje & Schoenmakers, John G.M., 2011. "Minimum return guarantees with fund switching rights—An optimal stopping problem," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1880-1897.
    36. Jérôme Detemple & Weidong Tian, 2002. "The Valuation of American Options for a Class of Diffusion Processes," Management Science, INFORMS, vol. 48(7), pages 917-937, July.
    37. Constantinides, George M. & Jackwerth, Jens Carsten & Perrakis, Stylianos, 2007. "Option Pricing: Real and Risk-Neutral Distributions," MPRA Paper 11637, University Library of Munich, Germany.
    38. Antje Mahayni, 2003. "Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(05), pages 521-552.
    39. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    40. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
    41. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
    42. Mykland, Per Aslak, 2019. "Combining statistical intervals and market prices: The worst case state price distribution," Journal of Econometrics, Elsevier, vol. 212(1), pages 272-285.
    43. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    44. Dietmar P.J. Leisen, 2012. "Staged venture capital contracting with ratchets and liquidation rights," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 21-30, January.
    45. Sergey Smirnov, 2019. "A Guaranteed Deterministic Approach to Superhedging—The Case of Convex Payoff Functions on Options," Mathematics, MDPI, vol. 7(12), pages 1-19, December.
    46. Alexander, Carol & Nogueira, Leonardo M., 2007. "Model-free hedge ratios and scale-invariant models," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1839-1861, June.
    47. Hyong-Chol O & Ji-Sok Kim, 2013. "General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application," Papers 1309.6505, arXiv.org, revised Sep 2013.
    48. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
    49. Nicole Branger & Christian Schlag, 2004. "Is volatility risk priced? Properties of tests based on option hedging errors," Money Macro and Finance (MMF) Research Group Conference 2003 8, Money Macro and Finance Research Group.
    50. Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
    51. Nikunj Kapadia & Gregory Willette, 2012. "Equilibrium exercise of European warrants," Review of Derivatives Research, Springer, vol. 15(2), pages 129-156, July.
    52. Eric Rasmusen, 2004. "When Does Extra Risk Strictly Increase the Value of Options?," Finance 0409004, University Library of Munich, Germany.
    53. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    54. Norden, Lars, 2001. "Hedging of American equity options: do call and put prices always move in the direction as predicted by the movement in the underlying stock price?," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 321-340, December.
    55. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
    56. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
    57. Rongwen Wu & Michael C. Fu, 2003. "Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options," Operations Research, INFORMS, vol. 51(1), pages 52-66, February.
    58. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    59. Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
    60. Weinbaum, David, 2009. "Investor heterogeneity, asset pricing and volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 33(7), pages 1379-1397, July.

Articles

  1. Mugerman, Yevgeny & Steinberg, Nadav & Wiener, Zvi, 2022. "The exclamation mark of Cain: Risk salience and mutual fund flows," Journal of Banking & Finance, Elsevier, vol. 134(C).
    See citations under working paper version above.
  2. Abudy, Menachem (Meni) & Mugerman, Yevgeny & Wiener, Zvi, 2021. "Stock markets and female participation in the labor force," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).

    Cited by:

    1. Gavious, Ilanit, 2022. "The economic consequences of violence against civilians: Developing economic resilience to violence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
    2. (Meni) Abudy, Menachem & Gildin, Ilan & Mugerman, Yevgeny, 2022. "Do computerized traders follow social norms? Evidence from the holocaust remembrance moment of silence," Finance Research Letters, Elsevier, vol. 48(C).
    3. Abudy, Menachem (Meni) & Aharon, David Y. & Shust, Efrat, 2023. "Can gender Pay-Gap disclosures make a difference?," Finance Research Letters, Elsevier, vol. 52(C).
    4. Bezalel, Jonathan & Mugerman, Yevgeny & Winter, Eyal, 2021. "Meaning and gender differences," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 95(C).

  3. Mugerman, Yevgeny & Yidov, Orr & Wiener, Zvi, 2020. "By the light of day: The effect of the switch to winter time on stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).

    Cited by:

    1. Abudy, Menachem (Meni) & Mugerman, Yevgeny & Wiener, Zvi, 2021. "Stock markets and female participation in the labor force," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
    2. (Meni) Abudy, Menachem & Gildin, Ilan & Mugerman, Yevgeny, 2022. "Do computerized traders follow social norms? Evidence from the holocaust remembrance moment of silence," Finance Research Letters, Elsevier, vol. 48(C).
    3. Waldemar Tarczyński & Sebastian Majewski & Małgorzata Tarczyńska-Łuniewska & Agnieszka Majewska & Grzegorz Mentel, 2021. "The Impact of Weather Factors on Quotations of Energy Sector Companies on Warsaw Stock Exchange," Energies, MDPI, vol. 14(6), pages 1-14, March.
    4. Abudy, Menachem (Meni) & Mugerman, Yevgeny & Shust, Efrat, 2022. "The Winner Takes It All: Investor Sentiment and the Eurovision Song Contest," Journal of Banking & Finance, Elsevier, vol. 137(C).

  4. Mugerman, Yevgeny & Hecht, Yoel & Wiener, Zvi, 2019. "On the failure of mutual fund industry regulation," Emerging Markets Review, Elsevier, vol. 38(C), pages 51-72.

    Cited by:

    1. Pornanong Budsaratragoon & Boonlert Jitmaneeroj, 2021. "Fund Ratings of Socially Responsible Investing (SRI) Funds: A Precautionary Note," Sustainability, MDPI, vol. 13(14), pages 1-25, July.
    2. Christos Argyropoulos & Bertrand Candelon & Jean-Baptiste Hasse & Ekaterini Panopoulou, 2023. "Towards a macroprudential regulatory framework for mutual funds?," Post-Print hal-04103373, HAL.
    3. Yevgeny Mugerman & Nadav Steinberg & Zvi Wiener, 2019. "The Exclamation Mark of Cain: Risk Salience and Mutual Fund Flows," Bank of Israel Working Papers 2019.09, Bank of Israel.
    4. Jitmaneeroj, Boonlert, 2023. "Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets," Research in International Business and Finance, Elsevier, vol. 64(C).
    5. Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
    6. Cumming, Douglas & Johan, Sofia & Zhang, Yelin, 2019. "What is mutual fund flow?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 62(C), pages 222-251.

  5. Galai, Dan & Wiener, Zvi, 2018. "Dividend policy relevance in a levered firm—The binomial case," Economics Letters, Elsevier, vol. 172(C), pages 78-80.

    Cited by:

    1. Ed-Dafali, Slimane & Patel, Ritesh & Iqbal, Najaf, 2023. "A bibliometric review of dividend policy literature," Research in International Business and Finance, Elsevier, vol. 65(C).
    2. Alla V. VAVILINA & Lidiya N. LEVANOVA & Irina N. TKACHENKO, 2019. "Interrelation between dividend policy and corporate reputation in Russian companies," Upravlenets, Ural State University of Economics, vol. 10(4), pages 14-23, September.

  6. Yevgeny Mugerman & Moran Ofir & Zvi Wiener, 2016. "How Do Homeowners Choose Between Fixed and Adjustable Rate Mortgages?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(04), pages 1-21, December.

    Cited by:

    1. Michael Richter, 2017. "Asymmetric Effects on Financial Cycles in a Monetary Union with Diverging Country Preferences for Variable- and Fixed-Rate Mortgages," Review of Economics & Finance, Better Advances Press, Canada, vol. 7, pages 19-36, February.
    2. Jörg Clostermann & Franz Seitz, 2020. "Effektivverzinsung und Volatilität bei Finanzierung mit Zinsbindung und variablen Zinsen [Effective interest rates and volatility for fixed-rate and adjustable-rate mortages]," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 29-46, April.
    3. Kelly, Robert & Lyons, Paul & O'Toole, Conor, 2015. "Mortgage Interest Rate Types in Ireland," Economic Letters 09/EL/15, Central Bank of Ireland.
    4. Yevgeny Mugerman & Joseph Tzur & Arie Jacobi, 2018. "Mortgage Loans and Bank Risk Taking: Finding the Risk “Sweet Spot”," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 8(04), pages 1-30, December.
    5. Jacobi, Arie & Tzur, Joseph, 2019. "Optimal screening capacity and perceived risk of mortgage banks across countries," Emerging Markets Review, Elsevier, vol. 41(C).
    6. Mugerman, Yevgeny & Yidov, Orr & Wiener, Zvi, 2020. "By the light of day: The effect of the switch to winter time on stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).

  7. Levy, Haim & Wiener, Zvi, 2013. "Prospect theory and utility theory: Temporary versus permanent attitude toward risk," Journal of Economics and Business, Elsevier, vol. 68(C), pages 1-23.

    Cited by:

    1. Ewa Michalska & Renata Dudzińska-Baryła, 2012. "Comparison of the valuations of alternatives based on cumulative prospect theory and almost stochastic dominance," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(3), pages 23-36.
    2. Ziho Kang & Thomas Morin, 2016. "Multi-Attribute Decision Making in a Bidding Game with Imperfect Information and Uncertainty," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 15(01), pages 63-81, January.
    3. Carsten Bergenholtz & Kim Klyver & Oana Vuculescu, 2023. "Self-Efficacy in Disrupted Environments: COVID-19 as a Natural Experiment," Entrepreneurship Theory and Practice, , vol. 47(3), pages 724-750, May.
    4. Peter J. Phillips & Gabriela Pohl, 2017. "Terrorist choice: a stochastic dominance and prospect theory analysis," Defence and Peace Economics, Taylor & Francis Journals, vol. 28(2), pages 150-164, March.
    5. Schilirò, Daniele, 2017. "Economics versus psychology.Risk, uncertainty and the expected utility theory," MPRA Paper 83366, University Library of Munich, Germany.

  8. Dan Galai & Zvi Wiener, 2012. "Credit Risk Spreads in Local and Foreign Currencies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 883-901, August.
    See citations under working paper version above.
  9. Michael A. Goldstein & Paul Irvine & Eugene Kandel & Zvi Wiener, 2009. "Brokerage Commissions and Institutional Trading Patterns," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5175-5212, December.
    See citations under working paper version above.
  10. Galai, Dan & Wiener, Zvi, 2008. "Stakeholders and the composition of the voting rights of the board of directors," Journal of Corporate Finance, Elsevier, vol. 14(2), pages 107-117, April.

    Cited by:

    1. N. Craig Smith & David Rönnegard, 2016. "Shareholder Primacy, Corporate Social Responsibility, and the Role of Business Schools," Journal of Business Ethics, Springer, vol. 134(3), pages 463-478, March.
    2. Samantha Miles, 2012. "Stakeholder: Essentially Contested or Just Confused?," Journal of Business Ethics, Springer, vol. 108(3), pages 285-298, July.
    3. Ginglinger, Edith & Megginson, William & Waxin, Timothée, 2011. "Employee ownership, board representation, and corporate financial policies," Journal of Corporate Finance, Elsevier, vol. 17(4), pages 868-887, September.
    4. Duane Windsor, 2010. "The Role of Dynamics in Stakeholder Thinking," Journal of Business Ethics, Springer, vol. 96(1), pages 79-87, August.
    5. Yves Fassin, 2012. "Stakeholder Management, Reciprocity and Stakeholder Responsibility," Journal of Business Ethics, Springer, vol. 109(1), pages 83-96, August.

  11. Jakša Cvitanić & Zvi Wiener & Fernando Zapatero, 2008. "Analytic Pricing of Employee Stock Options," The Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 683-724, April.

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    1. Kyng, T. & Konstandatos, O. & Bienek, T., 2016. "Valuation of employee stock options using the exercise multiple approach and life tables," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 17-26.
    2. Julio Carmona & Angel León & Antoni Vaello-Sebastià, 2010. "Pricing executive stock options under employment shocks," Post-Print hal-00753042, HAL.
    3. Susana Álvarez-Díez & J. Baixauli-Soler & María Belda-Ruiz, 2014. "Are we using the wrong letters? An analysis of executive stock option Greeks," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 237-262, June.
    4. Klein, Daniel, 2018. "Executive turnover and the valuation of stock options," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 76-93.
    5. Tim Leung & Yang Zhou, 2019. "A Top-Down Approach for the Multiple Exercises and Valuation of Employee Stock Options," Papers 1906.03562, arXiv.org, revised Sep 2019.
    6. Menachem Abudy & Simon Benninga, 2011. "Taxation and the value of employee stock options," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 7(1), pages 9-37, February.
    7. Grasselli, Matheus & Henderson, Vicky, 2009. "Risk aversion and block exercise of executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 109-127, January.
    8. Tim Leung & Ronnie Sircar, 2009. "Accounting For Risk Aversion, Vesting, Job Termination Risk And Multiple Exercises In Valuation Of Employee Stock Options," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 99-128, January.
    9. J. Samuel Baixauli-Soler & Maria Belda-Ruiz & Gregorio Sanchez-Marin, 2017. "An executive hierarchy analysis of stock options: Does gender matter?," Review of Managerial Science, Springer, vol. 11(4), pages 737-766, October.
    10. Tang, Chun-Hua, 2012. "Revisiting the incentive effects of executive stock options," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 564-574.
    11. M. R. Grasselli, 2005. "Nonlinearity, correlation and the valuation of employee stock options," Papers math/0511234, arXiv.org.
    12. Baixauli-Soler, J. Samuel & Belda-Ruiz, Maria & Sanchez-Marin, Gregorio, 2015. "Executive stock options, gender diversity in the top management team, and firm risk taking," Journal of Business Research, Elsevier, vol. 68(2), pages 451-463.
    13. Ming-Cheng Wu & I-Cheng Lin, 2013. "Determining fair values of performance-vested and forfeiture-embedded employee stock options," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(4), pages 1083-1106, December.
    14. Susana Alvarez-Diez & J. Samuel Baixauli-Soler & Maria Belda-Ruiz, 2016. "Early Exercise Behaviour in Performance-vested Stock Option Grants," Annals of Economics and Finance, Society for AEF, vol. 17(1), pages 55-78, May.
    15. Kimura, Toshikazu, 2010. "Valuing executive stock options: A quadratic approximation," European Journal of Operational Research, Elsevier, vol. 207(3), pages 1368-1379, December.
    16. Kamil Kladivko & Mihail Zervos, 2017. "Valuation of Employee Stock Options (ESOs) by means of Mean-Variance Hedging," Papers 1710.00897, arXiv.org.
    17. Wang, Xingchun, 2021. "The values and incentive effects of options on the maximum or the minimum of the stock prices and market index," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    18. Sircar, Ronnie & Xiong, Wei, 2007. "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2317-2349, July.
    19. Len, Angel & Vaello-Sebasti, Antoni, 2009. "American GARCH employee stock option valuation," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1129-1143, June.
    20. Xudong Fu & James A. Ligon, 2010. "Exercises of Executive Stock Options on the Vesting Date," Financial Management, Financial Management Association International, vol. 39(3), pages 1097-1126, September.
    21. Tim Leung & Haohua Wan, 2015. "ESO Valuation with Job Termination Risk and Jumps in Stock Price," Papers 1504.08073, arXiv.org.
    22. Abudy, Menachem & Benninga, Simon, 2013. "Non-marketability and the value of employee stock options," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5500-5510.
    23. Yukihiro Tsuzuki, 2023. "Pitman's Theorem, Black-Scholes Equation, and Derivative Pricing for Fundraisers," Papers 2303.13956, arXiv.org.
    24. Olaf Korn & Clemens Paschke & Marliese Uhrig-Homburg, 2012. "Robust stock option plans," Review of Quantitative Finance and Accounting, Springer, vol. 39(1), pages 77-103, July.
    25. Erwinna Chendra & Kuntjoro A. Sidarto, 2020. "An improved of Hull–White model for valuing Employee Stock Options (ESOs)," Review of Quantitative Finance and Accounting, Springer, vol. 54(2), pages 651-669, February.
    26. Kwangil Bae & Jangkoo Kang & Hwa‐Sung Kim, 2018. "Call options with concave payoffs: An application to executive stock options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 943-957, August.

  12. Galai, Dan & Raviv, Alon & Wiener, Zvi, 2007. "Liquidation triggers and the valuation of equity and debt," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3604-3620, December.
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  13. Markus Leippold & Zvi Wiener, 2005. "Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models," Review of Derivatives Research, Springer, vol. 7(3), pages 213-239, October.

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  14. O'Neill, Barry & Samet, Dov & Wiener, Zvi & Winter, Eyal, 2004. "Bargaining with an agenda," Games and Economic Behavior, Elsevier, vol. 48(1), pages 139-153, July.
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    1. Gamal Atallah, 2007. "Conditional R&D Subsidies," Working Papers 0702E, University of Ottawa, Department of Economics.
    2. Lai, Van Son & Soumaré, Issouf, 2010. "Credit insurance and investment: A contingent claims analysis approach," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 98-107, March.
    3. Soumaré, Issouf & Lai, Van Son, 2016. "An analysis of government loan guarantees and direct investment through public-private partnerships," Economic Modelling, Elsevier, vol. 59(C), pages 508-519.
    4. Ronald W. Spahr & Pankaj K. Jain & Fariz Huseynov & Bhavik Rajesh Parikh, 2012. "Tax policy and macro-finance in a competitive global economy where government is considered as firms' third financial stakeholder," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(1/2), pages 30-66.

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    6. Raquel M. Gaspar, 2016. "On Path–dependency of Constant Proportion Portfolio Insurance strategies," EcoMod2016 9381, EcoMod.
    7. Moshe Levy & Haim Levy, 2013. "Prospect Theory: Much Ado About Nothing?," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 7, pages 129-144, World Scientific Publishing Co. Pte. Ltd..
    8. Wing-Keung Wong & Raymond H. Chan, 2005. "Prospect and Markowitz Stochastic Dominance," Monash Economics Working Papers 08/05, Monash University, Department of Economics.
    9. Tsang, Chun-Kei & Wong, Wing-Keung & Horowitz, Ira, 2016. "Arbitrage Opportunities, Efficiency, and the Role of Risk Preferences in the Hong Kong Property Market," MPRA Paper 74347, University Library of Munich, Germany.
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    16. Abu-Alkheil, Ahmad & Khan, Walayet A. & Parikh, Bhavik & Mohanty, Sunil K., 2017. "Dynamic co-integration and portfolio diversification of Islamic and conventional indices: Global evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 212-224.
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    24. Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
    25. Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(1), pages 119-146, October.
    26. Jamshidi, Movahed & Kebriaei, Hamed & Sheikh-El-Eslami, Mohammad-Kazem, 2018. "An interval-based stochastic dominance approach for decision making in forward contracts of electricity market," Energy, Elsevier, vol. 158(C), pages 383-395.
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    46. Lam, Kin & Lean, Hooi Hooi & Wong, Wing-Keung, 2016. "Stochastic Dominance and Investors’ Behavior towards Risk: The Hong Kong Stocks and Futures Markets," MPRA Paper 74386, University Library of Munich, Germany.
    47. Post, Thierry, 2008. "On the dual test for SSD efficiency: With an application to momentum investment strategies," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1564-1573, March.
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    1. Alfredo Ibáñez, 2005. "Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach," Computing in Economics and Finance 2005 216, Society for Computational Economics.
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    3. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    4. Gropp, Reint & Vesala, Jukka & Vulpes, Giuseppe, 2006. "Equity and Bond Market Signals as Leading Indicators of Bank Fragility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 399-428, March.
    5. Dupont, Dominique Y., 2001. "Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter," Economics Series 104, Institute for Advanced Studies.
    6. Eric Rasmusen, 2007. "When Does Extra Risk Strictly Increase an Option's Value?," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1647-1667, 2007 14.
    7. Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
    8. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Co-movements of Index Options and Futures Quotes," Working Paper Series 2006-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    9. Garcia, R. & Renault, E., 1998. "Risk Aversion, Intertemporal Substitution, and Option Pricing," Cahiers de recherche 9801, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    10. Parsiad Azimzadeh & Peter A. Forsyth, 2015. "The existence of optimal bang-bang controls for GMxB contracts," Papers 1502.05743, arXiv.org, revised Nov 2015.
    11. Erik Ekstrom & Johan Tysk, 2005. "A boundary point lemma for Black-Scholes type operators," Papers math/0509231, arXiv.org.
    12. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
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    23. Fahlenbrach, Rudiger & Sandas, Patrik, 2005. "Market Frictions and Seemingly Anomalous Co-movements of Index Options and Index Futures Quotes," Working Paper Series 2005-10, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
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    51. Hamed Ghanbari & Michael Oancea & Stylianos Perrakis, 2021. "Shedding light on a dark matter: Jump diffusion and option‐implied investor preferences," European Financial Management, European Financial Management Association, vol. 27(2), pages 244-286, March.
    52. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
    53. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2005. "A Comparison of Option Prices Under Different Pricing Measures in a Stochastic Volatility Model with Correlation," Review of Derivatives Research, Springer, vol. 8(1), pages 5-25, June.
    54. Chen An & Mahayni Antje B., 2008. "Endowment Assurance Products: Effectiveness of Risk-Minimizing Strategies under Model Risk," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(2), pages 1-29, March.
    55. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.
    56. Mykland, Per Aslak, 2019. "Combining statistical intervals and market prices: The worst case state price distribution," Journal of Econometrics, Elsevier, vol. 212(1), pages 272-285.
    57. A. Mele, 2000. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," THEMA Working Papers 2000-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    58. Dietmar P.J. Leisen, 2012. "Staged venture capital contracting with ratchets and liquidation rights," Review of Financial Economics, John Wiley & Sons, vol. 21(1), pages 21-30, January.
    59. Sergey Smirnov, 2019. "A Guaranteed Deterministic Approach to Superhedging—The Case of Convex Payoff Functions on Options," Mathematics, MDPI, vol. 7(12), pages 1-19, December.
    60. Alexander, Carol & Nogueira, Leonardo M., 2007. "Model-free hedge ratios and scale-invariant models," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1839-1861, June.
    61. Hyong-Chol O & Ji-Sok Kim, 2013. "General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application," Papers 1309.6505, arXiv.org, revised Sep 2013.
    62. Branger, Nicole & Mahayni, Antje, 2006. "Tractable hedging: An implementation of robust hedging strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 30(11), pages 1937-1962, November.
    63. Nicole Branger & Christian Schlag, 2004. "Is volatility risk priced? Properties of tests based on option hedging errors," Money Macro and Finance (MMF) Research Group Conference 2003 8, Money Macro and Finance Research Group.
    64. Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
    65. Nikunj Kapadia & Gregory Willette, 2012. "Equilibrium exercise of European warrants," Review of Derivatives Research, Springer, vol. 15(2), pages 129-156, July.
    66. Eric Rasmusen, 2004. "When Does Extra Risk Strictly Increase the Value of Options?," Finance 0409004, University Library of Munich, Germany.
    67. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    68. Norden, Lars, 2001. "Hedging of American equity options: do call and put prices always move in the direction as predicted by the movement in the underlying stock price?," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 321-340, December.
    69. Jan Bergenthum & Ludger Rüschendorf, 2006. "Comparison of Option Prices in Semimartingale Models," Finance and Stochastics, Springer, vol. 10(2), pages 222-249, April.
    70. Anne Mackay & Marie-Claude Vachon, 2023. "On an Optimal Stopping Problem with a Discontinuous Reward," Papers 2311.03538, arXiv.org, revised Nov 2023.
    71. Th'eo Durandard & Matteo Camboni, 2024. "Under Pressure: Comparative Statics for Optimal Stopping Problems in Nonstationary Environments," Papers 2402.06999, arXiv.org.
    72. Nicole Branger & Antje Mahayni, 2011. "Tractable hedging with additional hedge instruments," Review of Derivatives Research, Springer, vol. 14(1), pages 85-114, April.
    73. Rongwen Wu & Michael C. Fu, 2003. "Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options," Operations Research, INFORMS, vol. 51(1), pages 52-66, February.
    74. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November.
    75. Jonas Al-Hadad & Zbigniew Palmowski, 2020. "Perpetual American options with asset-dependent discounting," Papers 2007.09419, arXiv.org, revised Jan 2021.
    76. Weinbaum, David, 2009. "Investor heterogeneity, asset pricing and volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 33(7), pages 1379-1397, July.
    77. Chang, Eric C. & Luo, Xingguo & Shi, Lei & Zhang, Jin E., 2013. "Is warrant really a derivative? Evidence from the Chinese warrant market," Journal of Financial Markets, Elsevier, vol. 16(1), pages 165-193.

Chapters

  1. Moran Ofir & Zvi Wiener, 2016. "Individuals Investment in Financial Structured Products from Rational and Behavioral Choice Perspectives," World Scientific Book Chapters, in: Itzhak Venezia (ed.), Behavioral Finance WHERE DO INVESTORS' BIASES COME FROM?, chapter 2, pages 33-65, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Samuel Ribeiro-Navarrete & Juan Piñeiro-Chousa & M. Ángeles López-Cabarcos & Daniel Palacios-Marqués, 2022. "Crowdlending: mapping the core literature and research frontiers," Review of Managerial Science, Springer, vol. 16(8), pages 2381-2411, November.
    2. Abreu, Margarida, 2019. "How biased is the behavior of the individual investor in warrants?," Research in International Business and Finance, Elsevier, vol. 47(C), pages 139-149.
    3. Jiang, Jiajun & Liu, Yu-Jane & Lu, Ruichang, 2020. "Social heterogeneity and local bias in peer-to-peer lending – evidence from China," Journal of Comparative Economics, Elsevier, vol. 48(2), pages 302-324.
    4. Margarida Abreu & Victor Mendes, 2018. "Do Individual Investors Trade Differently in Different Markets?," Working Papers REM 2018/26, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    5. Mohamed, Hazik, 2018. "Macro and Micro-level Indicators of Maqāṣid al- Sharī‘ah in Socio-Economic Development Policy and its Governing Framework," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 25, pages 19-44.

  2. Dan Galai & Eyal Sulganik & Zvi Wiener, 2012. "Accounting Values versus Market Values and Earnings Management in Banks," World Scientific Book Chapters, in: Itzhak Venezia & Zvi Wiener (ed.), Bridging The Gaap Recent Advances in Finance and Accounting, chapter 3, pages 37-59, World Scientific Publishing Co. Pte. Ltd..

    Cited by:

    1. Małgorzata Olszak & Mateusz Pipień & Iwona Kowalska & Sylwia Roszkowska, 2017. "What Drives Heterogeneity of Cyclicality of Loan-Loss Provisions in the EU?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 51(1), pages 55-96, February.
    2. Malgorzata Olszak & Patrycja Chodnicka-Jaworska & Iwona Kowalska & Filip Œwita³a, 2017. "The effect of capital ratio on lending: Do loan-loss provisioning practices matter?," Faculty of Management Working Paper Series 22017, University of Warsaw, Faculty of Management.

Books

    Sorry, no citations of books recorded.
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