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econ.GN2020
Contingent Capital with Stock Price Triggers in Interbank Networks
Anne G. Balter, Nikolaus Schweizer, Juan C. Vera
This paper studies existence and uniqueness of equilibrium prices in a model of the banking sector in which banks trade contingent convertible bonds with stock price triggers among…
math.PR2020
Robust Multiple Stopping -- A Pathwise Duality Approach
Roger J. A. Laeven, John G. M. Schoenmakers, Nikolaus F. F. Schweizer +1
We develop a method to solve, theoretically and numerically, general optimal stopping problems. Our general setting allows for multiple exercise rights, i.e., optimal multiple stop…