Related papers: On return rate implied by behavioural present valu…
Trustworthiness especially for service oriented system is very important topic now a day in IT field of the whole world. Certain Trust Model depends on some certain values given by experts and developers. Here, main parameters for…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
In informationally efficient financial markets, option prices and this implied volatility should immediately be adjusted to new information that arrives along with a jump in underlying's return, whereas gradual changes in implied volatility…
Asset prices contain information about the probability distribution of future states and the stochastic discounting of those states as used by investors. To better understand the challenge in distinguishing investors' beliefs from…
In stochastic finance, one traditionally considers the return as a competitive measure of an asset, {\it i.e.}, the profit generated by that asset after some fixed time span $\Delta t$, say one week or one year. This measures how well (or…
In this paper we introduce a class of information-based models for the pricing of fixed-income securities. We consider a set of continuous- time information processes that describe the flow of information about market factors in a monetary…
A classical result in risk measure theory states that every coherent risk measure has a dual representation as the supremum of certain expected value over a risk envelope. We study this topic in more detail. The related issues include: 1.…
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random)…
Continued interest in sustainable investing calls for an axiomatic approach to measures of risk and reward that focus not only on financial returns, but also on measures of environmental and social sustainability, i.e. environmental,…
Here a real life optimal control problem under fuzzy time period using variational principle is formulated and Solved. The unit production cost is a function of production rate and also dependent on raw material cost, development cost due…
Universal features in stock markets and their derivative markets are studied by means of probability distributions in internal rates of return on buy and sell transaction pairs. Unlike the stylized facts in log normalized returns, the…
Equity premium, the surplus returns of stocks over bonds, has been an enduring puzzle. While numerous prior works approach the problem assuming the utility of money is invariant across contexts, our approach implies that in efficient…
Logical propositions with the fuzzy modality "Probably" are shown to obey an uncertainty principle very similar to that of Quantum Optics. In the case of such propositions, the partial truth values are in fact probabilities. The…
We explore a fuzzy modal logic that can formalise probabilistic reasoning about actions and knowledge. In particular, we deal with contexts involving statements about events expressed via modal formulas, e.g., "after doing $a$, the…
We introduce a general decision tree framework to value an option to invest/divest in a project, focusing on the model risk inherent in the assumptions made by standard real option valuation methods. We examine how real option values depend…
In this paper the fractional trading ansatz of money management is reconsidered with special attention to chance and risk parts in the goal function of the related optimization problem. By changing the goal function with due regards to…
This paper deals with uncertain dynamical systems in which predictions about the future state of a system are assessed by so called pseudomeasures. Two special cases are stochastic dynamical systems, where the pseudomeasure is the…
Observations indicate that the distributions of stock returns in financial markets usually do not conform to normal distributions, but rather exhibit characteristics of high peaks, fat tails and biases. In this work, we assume that the…
Classically, risk is characterized by a point value probability indicating the likelihood of occurrence of an adverse effect. However, there are domains where the attainability of objective numerical risk characterizations is increasingly…