Search results | J. Murrey Atkins Library

Title: A Dynamic Approach to Optimizing Interventions and Mitigating Contagion Impacts in Financial Networks
Author: Farthing, Christopher
Date Created: 2021
Subjects--Topical: Mathematics, Finance, Economics
Description: While modern financial networks are so large, complex, and dynamic that the interactions between their members are impossible to model in their entirety, mathematical models with some simplifying assumptions allow for effective study of network dy...

Title: A Unified Treatment of Derivative Pricing and Forward Decision Problems Within HJM Framework
Author: Zou, Wenhua
Date Created: 2012
Subjects--Topical: Mathematics, Finance
Description: We study the HJM approach which was originally introduced in the fixed income market by David Heath, Robert Jarrow and Andrew Morton and later was implemented in the case of European option market by Martin Schweizer, Johannes Wissel, Rene Carmona...

Title: An Examination of the Credit Rating Industry
Author: Schorno, Patrick
Date Created: 2013
Subjects--Topical: Finance
Description: Starting in the early 2000s, after the accounting scandals involving Enron and WorldCom and continuing throughout the subsequent structured finance debacle of 2008, credit rating agencies have been criticized for the inaccuracy of their ratings. A...

Title: CHANGES IN VENTURE CAPITAL FUNDING AND THE PROCESS OF CREATING NASCENT FIRM VALUE
Author: Martin, Stephen
Date Created: 2014
Subjects--Topical: Finance
Description: The financing of nascent firms, and how they evolve into public companies, has undergone tremendous transformation over the past decade. The methods in which financing is structured, the process of growing financial value, and the exit strategies ...

Title: Capital Structure Issues in Real Estate Corporate Finance
Author: Blazevich, Brett
Date Created: 2017
Subjects--Topical: Finance
Description: Capital structure issues are of great importance within the corporate finance literature. Exploration of these issues within the Real Estate Investment Trust (REIT) industry provides the opportunity to examine these issues within a unique and homo...

Title: Corporate bonds: Theoretical and Empirical Study
Author: Park, Min
Date Created: 2012
Subjects--Topical: Finance
Description: This dissertation consists of three parts. The first chapter presents an analysis of the structural difference between a make-whole callable and a traditional callable bond. Based on the analysis, we construct a reduced-form model for the make-who...

Title: Durability, Indirect Bankruptcy Costs, and Capital Structure
Author: Shah, Dhara
Date Created: 2021
Subjects--Topical: Finance, Economics
Description: I contribute to the literature by formally modeling the indirect bankruptcy costs for a firm that sells durable goods. Consumers concerned about warranties or future product services penalize the distressed firm by putting off purchases or leaving...

Title: EXCHANGE RATE REGIMES, FX LIQUIDITY RISK, AND CARRY TRADE RETURNS
Author: Abankwa, Samuel
Date Created: 2016
Subjects--Topical: Finance, Industrial management, Economics
Description: The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is...

Title: Essays in Empirical Asset Pricing
Author: Nie, Ziye
Date Created: 2019
Subjects--Topical: Finance
Description: The dissertation is composed of three essays that address the cross-sectional relation between firm characteristics and expected stock returns. Chapter 1, "Regime-switching and the Cross-Section of Expected Stock Returns", incorporates regime swit...

Title: Essays in Empirical Asset Pricing
Author: Mo, Xi
Date Created: 2021
Subjects--Topical: Finance
Description: This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. I find that the beta associated with ri...

Title: Essays in investments and asset allocation
Author: Chen, Xianzhe
Date Created: 2016
Subjects--Topical: Finance
Description: This dissertation consists of three topics in investments and asset allocation. The first chapter studies the dynamics of macro factors and their application in asset allocation. Five meaningful economic factors are extracted from hundreds of econ...

Title: Essays on quantitative modeling financial
Author: Zhang, Hao
Date Created: 2023
Subjects--Topical: Finance
Description: This dissertation explores the application of quantitative modeling to analyze the features of different financial assets. This study investigates the dynamics of financial assets using advanced mathematical, statistical approaches, and Machine Le...

Title: Exchange Rates, Carry Trade Returns and Political Risks
Author: Kesse, Kwabena
Date Created: 2016
Subjects--Topical: Finance, Industrial management
Description: This dissertation elucidates the channels through which sovereign risk, exchange rates and currency risk premia are related. I show that the channels are different depending on whether a country is classified as emerging or an advanced economy. Ge...

Title: Financial Market Innovation and Product Innovation: Evidence from Commodity Futures Markets and Stock Markets
Author: Kong, Lingfei
Date Created: 2021
Subjects--Topical: Finance
Description: This dissertation contains three connected essays that feature financial market innovation and product market innovation. Two essays feature return predictability in commodity futures, which have been financialized during the past two decades. One...

Title: NONPARAMETRIC PREDICTIVE REGRESSION
Author: Yu, Xintian
Date Created: 2016
Subjects--Topical: Statistics, Finance, Economics
Description: In ﬁnancial time series nonlinear eﬀects and time-varying eﬀects are observed. In this dissertation we propose a predictive regression model with time varying coeﬃcients and functional coeﬃcients. It allows for nonstationary predictors. We establi...

Title: OPTION VALUATION UNDER A REGIME-SWITCHING MODEL USING THE FAST FOURIER TRANSFORM
Author: Sohrabi, Elham
Date Created: 2018
Subjects--Topical: Finance, Mathematics
Description: In this dissertation, we consider European-style commodity options and futures options where the logarithm of the underlying commodity price dynamics is governed by the regime-switching Ornstein-Uhlenbeck model. A semi-analytical approach to value...

Title: ORGANIZATIONAL STRUCTURE, AGENCY COSTS, MONITORING, AND FINANCIAL INSTITUTIONS
Author: JIN, LICHENG
Date Created: 2019
Subjects--Topical: Finance
Description: This dissertation focuses on the general research topic: organizational structure, agency costs, and monitoring in financial institutions. The first topic is on the organizational structure change in the insurance industry. Using data of demutuali...

Title: On lambda-quantile dependent convex risk measures
Author: Xia, Lihong
Date Created: 2011
Subjects--Topical: Mathematics, Finance
Description: We define a class of convex measures of risk whose values depend on the random variables only up to the lambda-quantiles for some given constant lambda in (0,1). For this class of convex risk measures, the assumption of Fatou property can be stren...

Title: On the Determinants of Leveraged Buyout activity: A comparison between developed and developing economies
Author: Reddy, Nischala
Date Created: 2014
Subjects--Topical: Finance
Description: I study Leveraged buyouts (LBOs) internationally over the period 1980-2012. Returns on LBOs are on average higher for developed markets. However, returns of LBOs during high economic growth periods are high for developing nations relative to devel...

Title: Quantitative style investing, portfolio optimization, and factor models
Author: Dickson Jr., Robert
Date Created: 2015
Subjects--Topical: Finance
Description: This dissertation consists of three related chapters in the field of empirical asset pricing. Broadly speaking the chapters investigate issues related to active portfolio management, stock-picking, portfolio optimization, and asset pricing model p...