… is precisely the line of investigation we pursue here by reinforcing the argument advanced
in Dubil (2005). Working people who save and invest over time in small increments implicitly …

Economic derivatives markets offer exciting new risk diversification opportunities for individual
investors. Mostly in the form of small denomination binary options, these markets trade …

… If we denote the quoted rate by r in percent per annum, and the number of compounding
periods per year as m, then the relationship between the quoted rate r and the EAR is: …

A whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage
strategy or hedge trade can be broken down into its component parts, and if we understand …

… In the standard VaR model, I apply the valuation model R.(-) to each row of F to compute a …
The cumulative trading return,R, , realized by the agent through a trade in each interval (t - dt, …

… We rely on a less accurate, but more elegant and intuitive argument of Dubil and Dachille
(… 5, we show additional results under the assumption that the opportunity cost of capital is r …

… Risk-free rate r = 0. Excess return m-r equal to the mean stock return m. Shortfall threshold
equal to the up-front investment. … Excess return m-r equal to the mean stock return m. …

… R , is computed over the entire interval ),0(t . In discrete time, the cumulative return through
period k , would be equivalently defined by … vdt R dx R … Note that both t R and t R …

This dissertation is an exposition of a new method of modeling liquidity in the Value-at-Risk (VaR)
framework. Liquidity, in general, refers to the deviation of transaction price from the …

We model the optimal liquidation behavior of a venture capital or non-diversified asset
management firm faced with a sale of concentrated security holdings. As the firm.s stake is large, …