We present an algorithmic approach for solving two-stage stochastic mixed 0-1 problems. The first stage constraints of the Deterministic Equivalent Model have 0–1 variables and continuous variables. The approach uses the Twin Node Family (TNF) concept within the algorithmic framework so-called Branch-and-Fix Coordination for satisfying the nonanticipativity constraints, jointly with a Benders D...

Existing empirical research investigating the size of the equity premium has largely consisted of a series of innovations around a common theme: producing a better estimate of the equity premium by using better data or a better estimation technique. The equity premium estimate that emerges from most of this work matches one moment of the data alone: the mean difference between an estimate of th...

Safe assets are demanded as stores of value (to smooth consumption inter-temporally) and collateral facilitate credit intra-temporally). Some supplied publicly (government bonds) some privately (asset-backed securities). Private heterogeneous in quality, information about their quality reduces safety properties. We show that government bonds discourage both production (crowding quantity out) in...

The capital market is a facility that prepared to trade stocks, bonds and various other types of securities. Before buying stock, investors must conduct an analysis expected affect the stock price. In addition, it have benchmark by investing in company will get quality as expected. One factors prices fundamental condition seen from company's financial condition. 
 This study uses comparati...

This paper proposes a collateral view of financial innovation: Many innovations are partly motivated by alleviating collateral constraints for trading (speculation or hedging). We analyze a model of investors with disagreement. The trading need motivates them to introduce derivatives, which are endogenously determined in equilibrium. In the presence of a collateral friction in cross-netting, th...

the latest instrument in islamic financial market is sukuk securities.   sukuk is a flexible stock securities that can meet the financial needs of firms in the capital markets. however, sukuk is considered as an alternative investment securities for bonds that receive usury which is forbidden in islam. the growth of  sukuk market in recent years, mainly due to its role in monitoring and control...

Introduction Recent events in the residential mortgage industry have verified what many of us expected all along: that the bursting of the housing bubble is already exerting dramatic and wide-ranging pressure on the US economy. As the housing market continues to decline, consumer spending will contract and financial institutions will suffer as housingrelated financing instruments take the plunge.