Imperfect competition among informed traders
K Back, CH Cao, GA Willard - The journal of finance, 2000 - Wiley Online Library
We analyze competition among informed traders in the continuous‐time Kyle(1985) model,
as Foster and Viswanathan (1996) do in discrete time. We explicitly describe the unique …
as Foster and Viswanathan (1996) do in discrete time. We explicitly describe the unique …
Calculating prices and sensitivities for path-independent derivative securities in multifactor...
GA Willard - Journal of derivatives, 1997 - elibrary.ru
Explores the class of derivative securities for which conditioning or conditional Monte Carlo
can simplify price calculations and sensitivities. Applicability of the approaches to other …
can simplify price calculations and sensitivities. Applicability of the approaches to other …
Rational equilibrium asset-pricing bubbles in continuous trading models
M Loewenstein, GA Willard - Journal of Economic Theory, 2000 - Elsevier
We study rational equilibrium asset-pricing bubbles in an economic environment in which
agents are allowed to trade continuously, including as special cases some models from …
agents are allowed to trade continuously, including as special cases some models from …
Options and bubbles
…, M Loewenstein, GA Willard - The Review of Financial …, 2007 - academic.oup.com
The Black-Scholes-Merton option valuation method involves deriving and solving a partial
differential equation (PDE). But this method can generate multiple values for an option. We …
differential equation (PDE). But this method can generate multiple values for an option. We …
Local martingales, arbitrage, and viability Free snacks and cheap thrills: Free snacks and cheap thrills
M Loewenstein, GA Willard - Economic Theory, 2000 - Springer
We revisit a standard model of security prices as Ito processes, and provide some new
economic insights about the role of arbitrage and credit limits within such a model. We show that …
economic insights about the role of arbitrage and credit limits within such a model. We show that …
The limits of investor behavior
M Loewenstein, GA Willard - The Journal of Finance, 2006 - Wiley Online Library
… Willard thanks the General Research Board at the University of Maryland for its financial …
Willard thanks the General Research Board at the University of Maryland for its financial support …
Willard thanks the General Research Board at the University of Maryland for its financial support …
Empty promises and arbitrage
GA Willard, PH Dybvig - The Review of Financial Studies, 1999 - academic.oup.com
Abstract Analysis of absence of arbitrage normally ignores payoffs in states to which the agent
assigns zero probability. We extend the fundamental theorem of asset pricing to the case …
assigns zero probability. We extend the fundamental theorem of asset pricing to the case …
Consumption and bubbles
M Loewenstein, GA Willard - Journal of Economic Theory, 2013 - Elsevier
We show that an unbounded number of consumption dates is necessary to support an asset
pricing bubble. We work in a continuous-time model where the number of trade dates is …
pricing bubble. We work in a continuous-time model where the number of trade dates is …
Conductivity of single ZnO nanorods after Ga implantation in a focused-ion-beam system
…, M Duerrschnabel, D Gerthsen, F Pérez-Willard… - Applied Physics …, 2007 - pubs.aip.org
… of the incident Ga + ions is not … Ga + ions, we assume as a rough estimate a penetration
depth of 100 nm —close to the diameter of the rods—which corresponds to an implanted Ga …
depth of 100 nm —close to the diameter of the rods—which corresponds to an implanted Ga …
Structural and magnetic properties of magnetostrictive Fe-Ga-Zr nanocrystalline alloy
… To incorporate more Ga in the α-(Fe,Ga) BCC structure, we introduced more Ga in (Fe 1−x
Ga x ) 92 Zr 8 alloy. Fig. 4b shows XRD patterns of annealed ribbons with higher …
Ga x ) 92 Zr 8 alloy. Fig. 4b shows XRD patterns of annealed ribbons with higher …