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Stevens Institute of Technology School of Business

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Viewing: 1 - 50 of 254 papers

1.

Effect of Entrepreneurship Education, Family Environment and Self Efficacy on Interest of Entrepreneurship State University of Jakarta Student

Number of pages: 14 Posted: 09 Jul 2019
Working Paper Series
State University of Jakarta and State University of Jakarta - Faculty of Economics
Downloads 1
2.

A Markov Chain Approximation Scheme for Option Pricing Under Skew Diffusions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 31 Posted: 25 Jun 2019
Working Paper Series
Nankai University - School of Mathematical Sciences, Stevens Institute of Technology - School of Business and Nankai University - Business School
Downloads 13
3.

Pricing Discretely Monitored Barrier Options Under Markov Processes Using a Markov Chain Approximation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 44 Posted: 29 May 2019
Working Paper Series
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 14
4.

Pricing Variance, Gamma and Corridor Swaps Using Multinomial Trees

Journal of Derivatives, Vol. 25, No. 2, 2017, Stevens Institute of Technology School of Business Research Paper, https://doi.org/10.3905/jod.2017.25.2.007
Posted: 20 May 2019 Last Revised: 20 May 2019
Working Paper Series
Hanlon Financial Systems Lab, Stevens Institute of Technology, Stevens Institute of Technology, Stevens Institute of Technology and Stevens Institute of Technology
5.

On the Optimal Design of the Randomized Unbiased Monte Carlo Estimators

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 01 May 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, University of Minnesota - Minneapolis and Stevens Institute of Technology - School of Business
Downloads 22
6.

Nonparametric Density Estimation by B-spline Duality

Stevens Institute of Technology School of Business Research Paper
Number of pages: 39 Posted: 08 Apr 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 16
7.

Full-fledged SABR through Markov Chains

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 14 Mar 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 13
8.

Transform Analysis for Markov Processes and Applications: An Operator-based Approach

Stevens Institute of Technology School of Business Research Paper
Number of pages: 27 Posted: 07 Mar 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Minnesota - Minneapolis
Downloads 21
9.

The Role of Product Design in Developing Brand Association

Number of pages: 15 Posted: 12 Feb 2019
Working Paper Series
Comsats University Islamabad, Department of Management Sciences, Students
Downloads 4
10.

An Insights on Talent Management and Its Prospects

Number of pages: 14 Posted: 30 Jan 2019
Working Paper Series
Rashtrasant Tukdoji Maharaj Nagpur University
Downloads 12
11.

Convergence Rate Analysis for the Continuous-Time Markov Chain Approximation of Occupation Time Derivatives and Asian Option Greeks

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 09 Jan 2019 Last Revised: 08 May 2019
Working Paper Series
School of Economic Mathematics and Collaborative Innovation Center of Financial Security, School of Economic Mathematics, SWUFE and Stevens Institute of Technology - School of Business
Downloads 19
12.

Foreign Exchange Shocks and Gasoline Consumption

Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 12 Nov 2018 Last Revised: 08 Jul 2019
Working Paper Series
Stevens Institute of Technology - School of Business, Khatam University and Sharif University of Technology - Graduate School of Management and Economics
Downloads 226
13.

Circular Arbitrage Detection Using Graphs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 8 Posted: 07 Nov 2018
Working Paper Series
Stevens Institute of Technology - School of Business and New Jersey Institute of Technology
Downloads 89
14.

An Analytic Formula for European Options; Jump Diffusion Models with a Log Mixture Normal Jump Distribution

Stevens Institute of Technology School of Business Research Paper
Number of pages: 35 Posted: 06 Nov 2018
Working Paper Series
Stevens Institute of Technology and Stevens Institute of Technology
Downloads 7
15.

Writing Styles Social Conformity, Firm Performance, and Earnings Persistence – A Deep Learning Approach

Stevens Institute of Technology School of Business Research Paper
Posted: 12 Sep 2018 Last Revised: 21 Nov 2018
Working Paper Series
Stevens Institute of Technology - School of Business and Xi'an Jiaotong University (XJTU) - School of Management

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16.

Learning from Failures: Optimal Contract for Experimentation and Production

Stevens Institute of Technology School of Business Research Paper
Number of pages: 55 Posted: 03 Sep 2018
Working Paper Series
University of Washington - Department of Economics, University of Washington - Department of Economics and Stevens Institute of Technology - School of Business
Downloads 125
17.

A General Framework for Time-Changed Markov Processes and Applications

Stevens Institute of Technology School of Business Research Paper
Number of pages: 34 Posted: 29 Aug 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 21
18.

A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures

"A Study on Brexit: Correlations and Tail Events Distribution of Liquidity Measures", M. Kong, A. Salighehdar and D. Bozdog, Journal of Management Science and Business Intelligence (JMSBI), Vol. 3, No. 1, July 2018, Stevens Institute of Technology School of Business Research Paper
Number of pages: 9 Posted: 02 Jul 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 43
19.

Detecting Arbitrage in the Foreign Exchange Market

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 05 May 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, New Jersey Institute of Technology and University of Minnesota - Minneapolis
Downloads 133
20.

Optimal Unbiased Estimation for Expected Cumulative Cost

Stevens Institute of Technology School of Business Research Paper
Number of pages: 13 Posted: 30 Apr 2018
Working Paper Series
Stevens Institute of Technology - School of Business, University of Maryland - College Park, Department of Industrial Engineering and Management, Peking University and University of Minnesota - Minneapolis
Downloads 14
21.

Structural Comparability of Financial Statements

Stevens Institute of Technology School of Business Research Paper
Number of pages: 53 Posted: 08 Mar 2018 Last Revised: 17 Apr 2018
Working Paper Series
Stevens Institute of Technology - School of Business, University of South Florida St. Petersburg, Stevens Institute of Technology and New Jersey City University
Downloads 182
22.

Epistemology Diagrams: Geometric Representation of Knowledge Management of Financial Engineering

Stevens Institute of Technology School of Business Research Paper
Number of pages: 16 Posted: 08 Mar 2018
Working Paper Series
Stevens Institute of Technology
Downloads 40
23.

Earnings-Announcement Narrative and Investor Judgment

Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 08 Mar 2018
Working Paper Series
Stevens Institute of Technology - School of Business and Lehigh University
Downloads 77
24.

Crude or Refined? Rationality of Downstream Investment for Oil-Rich Economies

Stevens Institute of Technology School of Business Research Paper
Number of pages: 49 Posted: 13 Feb 2018 Last Revised: 06 Oct 2018
Working Paper Series
Stevens Institute of Technology - School of Business and University of Vienna - Institute of Business Administration
Downloads 169
25.

On a New Parametrization Class of Solvable Diffusion Models and Transition Probability Kernels

Stevens Institute of Technology School of Business Research Paper
Number of pages: 32 Posted: 31 Jan 2018
Working Paper Series
School of Business, Stevens Institute of Technology - School of Business and Citigroup, Inc. - Citigroup Global Markets
Downloads 29
26.

Equity-Linked Annuity Pricing with Cliquet-Style Guarantees in Regime-Switching and Stochastic Volatility Models with Jumps

Insurance: Mathematics and Economics, Vol. 74, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 36 Posted: 05 Jan 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 26
27.

A General Framework for Discretely Sampled Realized Variance Derivatives in Stochastic Volatility Models with Jumps

European Journal of Operational Research, 262(1), 2017, pg. 381-400, Stevens Institute of Technology School of Business Research Paper
Number of pages: 43 Posted: 05 Jan 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE) and Marist College - Department of Mathematics
Downloads 22
28.

A Unified Approach to Bermudan and Barrier Options Under Stochastic Volatility Models with Jumps

Journal of Economic Dynamics and Control, Vol. 80, 2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 41 Posted: 05 Jan 2018
Accepted Paper Series
Georgia Institute of Technology - The H. Milton Stewart School of Industrial & Systems Engineering (ISyE), Marist College - Department of Mathematics and Stevens Institute of Technology - School of Business
Downloads 22
29.

Watch Your Words: An Experimental Study on Communication and the Opportunity Cost of Delegation

University of Verona, Working Paper Series 18/2017, Stevens Institute of Technology School of Business Research Paper
Number of pages: 54 Posted: 20 Dec 2017 Last Revised: 21 May 2018
Working Paper Series
Wenlan School of Business, Ca Foscari University of Venice - Dipartimento di Economia, University of Messina and University of Verona - Department of Economics
Downloads 23
30.

Revenue Recognition: A Brave New World

Stevens Institute of Technology School of Business Research Paper, Fox School of Business Research Paper No. 18-007
Number of pages: 53 Posted: 19 Dec 2017 Last Revised: 10 May 2018
Working Paper Series
Temple University - Department of Accounting, Stevens Institute of Technology - School of Business and Texas A&M University - Corpus Christi
Downloads 340
31.

Cluster Analysis of Liquidity Measures in a Stock Market Using High Frequency Data

Stevens Institute of Technology School of Business Research Paper
Posted: 26 Oct 2017 Last Revised: 23 Mar 2018
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - School of Business, Stevens Institute of Technology and Stevens Institute of Technology
32.

Blockchain Tokens and the Potential Democratization of Entrepreneurship and Innovation

Business Horizons, Vol. 61, Issue 4, pp. 567-575, 2018, Stevens Institute of Technology School of Business Research Paper
Number of pages: 22 Posted: 25 Oct 2017 Last Revised: 26 Jun 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business
Downloads 562
33.

Option to Abandon and Investment Return

Stevens Institute of Technology School of Business Research Paper
Number of pages: 21 Posted: 24 Oct 2017 Last Revised: 18 Jan 2018
Working Paper Series
Stevens Institute of Technology and University of Wyoming
Downloads 28
34.

VIX Derivatives Valuation and Estimation Based on Closed-Form Series Expansions

Stevens Institute of Technology School of Business Research Paper
Number of pages: 26 Posted: 02 Oct 2017 Last Revised: 21 Apr 2018
Working Paper Series
Stevens Institute of Technology, Stevens Institute of Technology - School of Business and Stevens Institute of Technology
Downloads 109
35.

Input-Price Risk Management: Technology Improvement and Financial Hedging

HEC Paris Research Paper No. MOSI-2017-1231, Stevens Institute of Technology School of Business Research Paper
Number of pages: 37 Posted: 25 Sep 2017 Last Revised: 09 Feb 2018
Working Paper Series
University of Toulouse - Toulouse Business School, HEC Paris - Operations Management and Information Technology and Stevens Institute of Technology - School of Business
Downloads 122
36.

Monitoring Innovation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 53 Posted: 20 Sep 2017 Last Revised: 02 Jan 2019
Working Paper Series
Stevens Institute of Technology - School of Business
Downloads 150
37.

Monitoring Innovation

Stevens Institute of Technology School of Business Research Paper
Number of pages: 53 Posted: 20 Sep 2017
Working Paper Series
Stevens Institute of Technology - School of Business
Downloads 5
38.

Failure and Rescue in Central Clearing Counterparty Design

Stevens Institute of Technology School of Business Research Paper
Number of pages: 29 Posted: 25 Jul 2017 Last Revised: 16 Oct 2017
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and Stevens Institute of Technology - School of Business
Downloads 65
39.

Interbank Market Formation through Reinforcement Learning and Risk Aversion

Stevens Institute of Technology School of Business Research Paper
Number of pages: 30 Posted: 29 Jun 2017 Last Revised: 26 Jul 2017
Working Paper Series
Cardiff University - School of Mathematics, Stevens Institute of Technology - School of Business, Government of the United States of America - Office of Financial Research and Stevens Institute of Technology
Downloads 55
40.

Mitigating Effects of Gender Diverse Board in Companies Managed by Overconfident CEOs

Stevens Institute of Technology School of Business Research Paper
Number of pages: 71 Posted: 21 Jun 2017 Last Revised: 11 Jun 2018
Working Paper Series
Stevens Institute of Technology, University of New South Wales - Australian School of Business and Florida International University
Downloads 142
41.

The Expected Hitting Time Approach to Optimal Price Adjustment Problems

Stevens Institute of Technology School of Business Research Paper
Number of pages: 37 Posted: 02 May 2017
Working Paper Series
University of Kansas, Stevens Institute of Technology - School of Business, University of Kansas and Stevens Institute of Technology
Downloads 140
42.

Price Elasticity of Gasoline Smuggling: A Semi-Structural Estimation Approach

Energy Economics, Vol. 71, 2018
Number of pages: 45 Posted: 19 Apr 2017 Last Revised: 21 Dec 2018
Accepted Paper Series
Stevens Institute of Technology - School of Business, Sharif University of Technology - Graduate School of Management and Economics and Sharif University of Technology
Downloads 843
43.

The Option Value of Mortgage Interest Tax Deductibility

Stevens Institute of Technology School of Business Research Paper
Number of pages: 30 Posted: 03 Apr 2017 Last Revised: 06 Oct 2018
Working Paper Series
Stevens Institute of Technology - School of Business and Stevens Institute of Technology - School of Business
Downloads 79
44.

Exact Optimal Pricing under the Multinomial Logit Choice Model with Network Effects

Stevens Institute of Technology School of Business Research Paper
Number of pages: 24 Posted: 27 Dec 2016
Working Paper Series
Stevens Institute of Technology - School of Business and University of Minnesota - Minneapolis
Downloads 94
45.

Impact of XBRL on Financial Statement Structural Comparability

Proceedings of the Thirty Seventh International Conference on Information Systems, Dublin 2016, Stevens Institute of Technology School of Business Research Paper No. 2881547
Number of pages: 11 Posted: 08 Dec 2016
Working Paper Series
Stevens Institute of Technology, University of South Florida St. Petersburg and New Jersey City University
Downloads 273
46.

Angel Network Affiliation and Business Angels’ Investment Practices

Journal of Corporate Finance, Forthcoming, Stevens Institute of Technology School of Business Research Paper No. 2856478
Number of pages: 47 Posted: 22 Oct 2016 Last Revised: 20 Dec 2017
Accepted Paper Series
Stevens Institute of Technology - School of Business, University of Piemonte Orientale - Department of Economics and Business Studies, University of Piemonte Orientale - Department of Economics and Business Studies and University of Piemonte Orientale - Department of Economics and Business Studies
Downloads 139
47.

The Most Predictive Energy Search Terms

Stevens Institute of Technology School of Business Research Paper No. 2853004
Number of pages: 24 Posted: 17 Oct 2016 Last Revised: 16 Jan 2017
Working Paper Series
Stevens Institute of Technology - School of Business, Stevens Institute of Technology - College of Arts and Letters and Stevens Institute of Technology - School of Business
Downloads 177
48.

Asset Pricing with Extreme Liquidity Risk

Stevens Institute of Technology School of Business Research Paper No. 2850278
Number of pages: 58 Posted: 16 Oct 2016 Last Revised: 22 Jun 2017
Working Paper Series
Stevens Institute of Technology - School of Business
Downloads 335
49.

Volatility Can Be Detrimental to Option Values!

Stevens Institute of Technology School of Business Research Paper No. 2837292
Number of pages: 13 Posted: 12 Sep 2016 Last Revised: 16 Jan 2017
Working Paper Series
Stevens Institute of Technology - School of Business and Florida State University - Department of Mathematics
Downloads 95
50.

Chain of Cointegration in the Refined Products Market: From Crude Oil Spot to Gasoline Futures

Stevens Institute of Technology School of Business Research Paper No. 2820227
Number of pages: 27 Posted: 12 Aug 2016
Working Paper Series
Stevens Institute of Technology - School of Business
Downloads 56