We solve for a firm's optimal cash holding policy within a continuous time, contingent claims
framework using dividends, short-term borrowing, and equity issues as controls assuming …

We present a version of the Multiplicative Ergodic (Oseledec) Theorem for the flow of a nonlinear
stochastic system definedon a smooth compact manifold. This theorem establishes the …

This paper is concerned with the behaviour of the risk premium on the market portfolio of
risky assets. It provides a characterisation for the evolution of the market risk premium in a …

We answer this question in the very general context of the n‐factor Heath, Jarrow, and Morton
model for the evolution of the term structure of interest rates, with nonrandom volatility. the …

We extend Furstenberg's theorem to the case of an iid random composition of incompressible
diffeomorphisms of a compact manifold M. The original theorem applies to linear maps {X i …

For many complex option valuation problems analytical solutions are not possible. In these
cases Monte Carlo simulation is an important numerical solution tool. Furthermore, …

Since its introduction in 1973, the Black-Scholes model has found increasingly more resistance
in application. In order to use Black-Scholes to price any option, one needs to know the …

We present a nonrandom version of the Multiplicative Ergodic (Oseledec) Theorem for a
nonlinear stochastic dynamical system on a smooth compact Riemannian Manifold M. This …

The banking sector traditionally dominated Indonesia's financial system, and until the 1990s
the stock market remained of little significance. Re-opened in 1977 after two decades of …

We present the Heath, Jarrow and Morton Model of the term structure of interest rates in a
simplified way, which starts from the price based formulation of the model, and shows how the …