This paper examines the influence of risk aversion on the pricing policies of a market maker
for securities. It is shown that a market maker's bid-ask spread can be decomposed into a …

This paper provides a detailed discussion of the similarities and differences between forward
contracts and futures contracts. Under frictionless markets and continuous trading, simple …

The purpose of this paper is to address two issues. It defines the appropriate role played by
institutions in the financial sector and focuses on the role of risk management in firms that …

CONVENTIONAL THEORY ASSUMES THAT the same return process operates over all trading
and non-trading periods. There are reasons to assume that the return sequence when an …

Recent changes in federal law regulating the vesting, funding, and insurance provisions of
private pension contracts have stimulated an increased awareness of the pension industry's …

This paper distinguishes between securitization, in which simple pass-through instruments
are created, and structuring, in which mortgages derivative claims are created. The point is to …

This paper develops a new distribution theory for common stock returns. The model is
composed of a calendar time diffusion process and a jump process where the magnitudes of the …

This paper explores the influence of a firm hedging in an efficient foreign exchange market.
The conclusion drawn is that hedging is irrelevant because the true value of currency …

CAPITAL ASSET PRICING theory gives a linear ex ante relationship between a security's
return and one special portfolio return, the return on all assets. This linear equation is called …

CORPORATIONS MAY ISSUE VARIOUS types of financial contracts to investors. The market
price of each security depends upon its claim on corporate resources and its influence on …