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This thesis deals with theoretical and numerical questions related to affine jumpdiffusion
models used in finance. In more detail, we look at three different classes within
the affine jump-diffusion class.
The first is the Heston stochastic volatility model which has been used extensively since
its first introduction by Heston (1993). To price financial derivatives with complex payoff
structures, we have to resort to the Monte Carlo simulation. We propose new simulation
This thesis develops principal-agent models to investigate how imperfect performance measurement in organizations influences the simultaneous decisions about the assignment of tasks and the provision of incentives to managers. Chapter 1 provides a performance-measurement-based explanation for job rotation. When performance is measured in part with a time lag, then job rotation can be an efficient means of incentive alignment if and only if (i) the lag measurement is sufficiently strong to exceed a specific threshold, and (ii) the principal can sign long-term contracts with the agents.
Three essays discuss management theory and the pharmaceutical industry.
The issue of accounting quality and stock exchange competition is currently under extensive debate, since the U.S. exchanges are facing significant challenges from abroad. Investors claim that SOX has a chilling effect in the U.S. cross-listing markets and that the U.S. is losing valuable listings. A counter-argument is that SOX is ensuring standards, protecting U.S. investors and maintaining the integrity of U.S. cross-listings. To test this, I compare the characteristics of accounting data for foreign firms that cross-list in U.S.
This dissertation is organized in three chapters. In the first chapter, which is a joint work with Rainer Haslemann and Kathartha Pistol', we explore how legal change affects lending behavior in twelve transition economies of Central and Eastern Europe In contrast to previous studies, we use hank level rather than aggregate data, which allows us to control for country level heterogeneity and analyze the effect of legal change on different types of lenders.
This dissertation contributes to an understudied area in organizational change research: the effects of managers' affective expressions on employee responses to change. I build upon the psychological literature on resilience and the organizational literatures on affect and change to develop hypotheses based on the premise that resilient responses to change may be the result of social processes in addition to purely individual ones.
This thesis analyses the relation of firm maturity (age ) and firm's performance at their IPO and Post IPO returns and fundamentals. The first chapter analyses post-issuance performance utilizing a sample of 9,400 IPOs spread from 1935 to 2002 and shows that young firms (under 9 years old) are the most likely to underperform and be delisted; three and five year cumulative abnormal returns range between -20% and -75% for this age group.
This dissertation studies the problem of dynamically trading between taxable and nontaxable assets in order to maximize the expected utility of terminal wealth.
To optimally allocate their marketing mix across customers, firms need to consider the evolution of their customers over time. Changes in the marketing environment, as well as intrinsic changes in preferences or needs, may discretely shift customers into different buying-behavior states. The ability to identify the dynamics in customer behavior and the drivers of these dynamics, present an opportunity for firms to influence the movement of customers to more favorable states of buying behavior.