Related papers: A note comprising a negative resolution of the Eff…
A storage system where a k units stock is replaced instantaneously, when required,is presented in this work. It is also supposed a Poisson demand. It is proved that the storage system replenishment cost expected present value function…
This paper establishes the existence of equilibrium in an economy with production and a continuum of consumers, each of whose incomplete and price-dependent preferences are defined on commodities they may consider deleterious, bads which…
The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…
We perform the a posteriori error analysis of residual type of a transmission problem with sign changing coefficients. According to [6] if the contrast is large enough, the continuous problem can be transformed into a coercive one. We…
We determine the asymptotic behaviour of certain incomplete Betafunctions.
This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the…
In narrative synthesis of evidence, it can be the case that the only quantitative measures available concerning the efficacy of an intervention is the direction of the effect, i.e. whether it is positive or negative. In such situations, the…
We show that the existence of an equivalent local martingale measure for asset prices does not prevent negative prices for European calls written on positive stock prices. In particular, we illustrate that many standard no-arbitrage…
We report the results of our empirical investigations on the Bateman-Horn conjecture. This conjecture, in its commonly known form, produces rather large deviations when the polynomials involved are not monic. We propose a modified version…
A solvency cone is a polyhedral convex cone which is used in Mathematical Finance to model proportional transaction costs. It consists of those portfolios which can be traded into nonnegative positions. In this note, we provide a…
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time…
We suggest that the error quoted in the Mainz determination of the E2/M1 ratio (at the resonance energy) should be enlarged. A term dropped in expressions used by this group could be significant.
Logarithmic score and information divergence appear in information theory, statistics, statistical mechanics, and portfolio theory. We demonstrate that all these topics involve some kind of optimization that leads directly to regret…
We examine weak anticipations in discrete-time and continuous-time financial markets consisting of one risk-free asset and multiple risky assets, defining a minimal probability measure associated with the anticipation that does not depend…
We describe a rational, but low resolution model of probability.
This note provides a new approach to a result of Foregger and related earlier results by Keilson and Eberlein. Using quite different techniques, we prove a more general result from which the others follow easily. Finally, we argue that the…
We investigate a structured class of nonconvex-nonconcave min-max problems exhibiting so-called \emph{weak Minty} solutions, a notion which was only recently introduced, but is able to simultaneously capture different generalizations of…
We study the utility indifference price of a European option in the context of small transaction costs. Considering the general setup allowing consumption and a general utility function at final time T, we obtain an asymptotic expansion of…
Using Singular Rescaling We Prove Some Bifurcation Results. This note Presents short proofs for some Bifurcation results which had been appeared with other authors.
We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…