‎The aim of this paper is to generalize the comprehensive structural model for defaultable fixed income bonds (considered in R‎. ‎Agliardi‎, ‎A comprehensive structural model for defaultable fixed-income bondsو Quant‎. ‎Finance 11 (2011)‎, ‎no‎. ‎5‎, ‎749--762.) into a comprehensive unified model of structural and reduced form models‎. ‎In our model the bond holders receive the deterministic co...

Discrete choice models have been widely estimated on scanner panel data to study consumer choice. One challenge in scanner panel research is that only the prices of the items bought are recorded. The ad hoc models used to fill in the missing prices of non-purchased brands may create a self-selection bias in estimating consumer price sensitivities. This type of bias is also present in existing s...

This paper develops and empirically implements an arbitrage-free, dynamic term structure model with “priced” factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with state-dependent transition probabilities. This model gives closed-form solutions for zero-coupon bond prices and a...

This article analyzes the dynamics of the commonly used indices for Adjustable Rate Mortgages, and systematically compares the eeects of their time series properties on the interest rate sensitivity of adjustable rate mortgages. Our ARM valuation methodology allows us simultaneously to capture the eeects of index dynamics, discrete coupon adjustment, mortgage prepayment, and both lifetime and p...

Purpose – The purpose of this paper is to examine how consumers’ value evaluation and personality factors influence consumers’ intention to adopt mobile coupon (M-coupon) applications in China. The moderating effect of gender on the relationships between personality factors and consumers’ adoption intention is also tested. Design/methodology/approach – This study conducted a survey to collect d...

In this paper, a Prototype design of electronic coupons ecosystem using NFC (Near Field Communication) in smart phones with OMM (Object Memory Model) is presented. The goal of OMM is to support the life cycle of NFC-based Electronic Coupon ecosystem for profile and usage, from E-Coupon push service and to E-Coupon clearance, using smart phone based on NFC devices. We propose the E-Coupon with O...

We surveyed of grocery shoppers in the Northeast United States to measure how demographic characteristics and consumer behavior affect the use of four coupon types (paper, in-store, checkout, and online). We employ logit models to estimate the probability that a consumer is a regular coupon user conditioned to his/her demographic and behavioral characteristics. Readership and economizing-behavi...

This paper characterizes conditions under which a risky coupon bond is equivalent to a portfolio of risky zero-coupon bonds. This characterization is extended to enable the estimation of firm specific zero-coupon bond prices from risky coupon bond prices for the determination of firm specific credit risk curves.  2004 Elsevier Inc. All rights reserved.