This paper develops and estimates an interest rate model with investor attitude factors,
which are extracted by a text mining method. First, we consider two contrastive attitudes …

This paper proposes a new analytical approximation scheme for the representation of the
forward–backward stochastic differential equations (FBSDEs) of Ma and Zhang (Ann Appl …

This paper presents a problem on model uncertainties in stochastic control, in which an
agent assumes a best case scenario on one risk and at the same time a worst case scenario …

This paper presents a new asset pricing model incorporating fundamental uncertainties by
choice of a probability measure. This approach is novel in that we incorporate uncertainties …

We provide an equilibrium asset pricing formula under moral hazard, which is defined as a
firm's change of measure that is incontractible, on the assumption of a power utility function …

This paper provides an explicit asset-pricing formula in a continuous-time
generalequilibrium exchange economy in the presence of moral hazard. Specifically, it …

This paper presents a new asset pricing model incorporating fundamental uncertainties by
choice of a probability measure. This approach is novel in that we incorporate uncertainties …