Related papers: A note on wealth in a volatile economy
In this paper, we focus on the estimation of historical volatility of asset prices from high-frequency data. Stochastic volatility models pose a major statistical challenge: since in reality historical volatility is not observable, its…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
We study regularity properties of the dynamic value functions of primal and dual problems of optimal investing for utility functions defined on the whole real line. Relations between decomposition terms of value processes of primal and dual…
In this work we use an inelastic scattering process of particles to propose a model able to reproduce the salient features of the wealth distribution in an economy by including taxes to each trading process and redistributing that collected…
We consider a structural stochastic volatility model for the loss from a large portfolio of credit risky assets. Both the asset value and the volatility processes are correlated through systemic Brownian motions, with default determined by…
Collective phenomena with universal properties have been observed in many complex systems with a large number of components. Here we present a microscopic model of the emergence of scaling behavior in such systems, where the interaction…
We examine the statistical properties of a closed monetary economy with multi-aggregates interactions. Building upon Yakovenko's single-agent monetary model (Dragulescu and Yakovenko, 2000), we investigate the joint equilibrium distribution…
In this paper, we investigate the economic mobility in some money transfer models which have been applied into the research on wealth distribution. We demonstrate the mobility by recording the time series of agents' ranks and observing…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
Modeling taxation of Variable Annuities has been frequently neglected but accounting for it can significantly improve the explanation of the withdrawal dynamics and lead to a better modeling of the financial cost of these insurance…
We study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model allowing for a possible…
Kinetic exchange models have been successful in explaining the shape of the income/wealth distribution in the economies. However, such models usually make some ad-hoc assumptions when it comes to determining the savings factor. Here, we…
In an incomplete continuous-time securities market with uncertainty generated by Brownian motions, we derive closed-form solutions for the equilibrium interest rate and market price of risk processes. The economy has a finite number of…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
An axiomatic approach to macroeconomics based on the mathematical structure of thermodynamics is presented. It deduces relations between aggregate properties of an economy, concerning quantities and flows of goods and money, prices and the…
We propose in this work a kinetic wealth-exchange model of economic growth by introducing saving as a non consumed fraction of production. In this new model, which starts also from microeconomic arguments, it is found that economic…
The main objective of this paper is to look from the unique point of view at some phenomena arising in different areas of probability theory and mathematical statistics. We will try to understand what is common between classical…
While wealth distribution in the world is highly skewed and heavy-tailed, human talent - as the majority of individual features - is normally distributed. In a recent computational study by Pluchino et al [Talent vs luck: The role of…
In life-cycle economics the Samuelson paradigm (Samuelson, 1969) states that the optimal investment is in constant proportions out of lifetime wealth composed of current savings and the present value of future income. It is well known that…