We investigate the “law of small numbers” using a unique panel data set on lotto gambling.
Because we can track individual players over time, we can measure how they react to …

Many investors hold structured products in their portfolio. The current paper develops a
break-even analysis on how this presence of structured products can be understood based …

The growing market for retail structured investment products and empirical evidence for
excessive pricing of such products raise the hypothesis that private investors show …

We present a new approach for pricing collateralized debt obligations (CDOs) which takes
into account the issue of the market incompleteness. In particular, we develop a suitable …

This study establishes a link between the disposition effect present in the transactions of
exchange-trade certificates (ETC), investor education and different dimensions of trading …

The severe political turmoil provoked by an allegedly mispriced private bond issue in
Greece added to the controversial matter of whether prices of structured bonds sold to …

Investment certificates are securitized derivatives built as a combination of financial
instruments. The financial engineering process aims to create new payoff profiles that allow …

Structured financial products including credit-linked notes and collateralized debt
obligations were popular before the credit crisis but then delivered substantial loss to …

This paper analyses the impact of model misspecification on pricing and hedging of illiquid
claims. We consider the case when an ambiguous investor hedges his position in an illiquid …

In this paper, we investigate the contribution of interest rate structured bonds to portfolios of
risk-averse retail investors. We conduct our analysis by simulating the term structure …