Related papers: On return rate implied by behavioural present valu…

In practice, a ranking of objects with respect to given set of criteria is of considerable importance. However, due to lack of knowledge, information of time pressure, decision makers might not be able to provide a (crisp) ranking of…

Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.

We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the…

The paper studies estimation of parameters of diffusion market models from historical data. The standard definition of implied volatility for these models presents its value as an implicit function of several parameters, including the…

Many biological, psychological and economic experiments have been designed where an organism or individual must choose between two options that have the same expected reward but differ in the variance of reward received. In this way,…

The paper concerns primal and dual representations as well as time consistency of set-valued dynamic risk measures. Set-valued risk measures appear naturally when markets with transaction costs are considered and capital requirements can be…

This paper discusses a class of uncertain optimization problems, in which unknown parameters are modeled by fuzzy intervals. The membership functions of the fuzzy intervals are interpreted as possibility distributions for the values of the…

We discuss - in what is intended to be a pedagogical fashion - a criterion, which is a lower bound on a certain ratio, for when a stock (or a similar instrument) is not a good investment in the long term, which can happen even if the…

What return should you expect when you take on a given amount of risk? How should that return depend upon other people's behavior? What principles can you use to answer these questions? In this paper, we approach these topics by exploring…

Stock correlations is crucial to asset pricing, investor decision-making, and financial risk regulations. However, microscopic explanation based on agent-based modeling is still lacking. We here propose a model derived from minority game…

Risk specialists are trying to understand risk better and use complex models for risk assessment, while many risks are not yet well understood. The lack of empirical data and complex causal and outcome relationships make it difficult to…

We introduce a distance-based neural network model for regression, in which prediction uncertainty is quantified by a belief function on the real line. The model interprets the distances of the input vector to prototypes as pieces of…

It is shown that an aspect of the process of individuation may be thought of as a fuzzy set. The process of individuation has been interpreted as a two-valued problem in the history of philosophy. In this work, I intend to show that such a…

A risk analyst assesses potential financial losses based on multiple sources of information. Often, the assessment does not only depend on the specification of the loss random variable but also various economic scenarios. Motivated by this…

This article is about molecular simulation. However, the theoretical results apply for general overdamped Langevin dynamics simulations. Molecular simulation is often used for determining the stability of a complex (e.g., ligand-receptor).…

Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…

Fault tree analysis is a vital method of assessing safety risks. It helps to identify potential causes of accidents, assess their likelihood and severity, and suggest preventive measures. Quantitative analysis of fault trees is often done…

This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…

The purpose of the paper is to provide a new way of seeing the p-value in terms of a fuzzy membership function. According to the ASAs statement, we aim at removing the arbitrary choice of the significance level and at demonstrating that the…

The stochastic leverage effect, defined as the standardized covariation between the returns and their related volatility, is analyzed in a stochastic volatility model set-up. A novel estimator of the effect is defined using a pre-estimation…