Related papers: Possible mathematical formulation of liquidity pre…
The new linear theory of elastic shells is presented in this paper. This theory is free from various logical imperfections, that may be found in the approaches of earlier researchers. On the base of this theory the equations of shells of…
For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price…
Choice functions constitute a simple, direct and very general mathematical framework for modelling choice under uncertainty. In particular, they are able to represent the set-valued choices that appear in imprecise-probabilistic decision…
Fluids can behave in a highly irregular, turbulent way. It has long been realised that, therefore, some weak notion of solution is required when studying the fundamental partial differential equations of fluid dynamics, such as the…
Can stated preferences help in counterfactual analyses of actual choice? This research proposes a novel approach to researchers who have access to both stated choices in hypothetical scenarios and actual choices. The key idea is to use…
We consider rate swaps which pay a fixed rate against a floating rate in presence of bid-ask spread costs. Even for simple models of bid-ask spread costs, there is no explicit strategy optimizing an expected function of the hedging error.…
Consider the object allocation (one-sided matching) model of Shapley and Scarf (1974). When final allocations are observed but agents' preferences are unknown, when might the allocation be in the core? This is a one-sided analogue of the…
Many economic theory models incorporate finiteness assumptions that, while introduced for simplicity, play a real role in the analysis. We provide a principled framework for scaling results from such models by removing these finiteness…
Some work in progress is announced, on the use of algebraic geometry, mostly concerning elliptic curve theory, to model turbulence. Attention is given to flows across the scales, on some convenient model space, and some current trials are…
By probabilistic logic I mean a normative theory of belief that explains how a body of evidence affects one's degree of belief in a possible hypothesis. A new axiomatization of such a theory is presented which avoids a finite additivity…
In liquid option markets, W-shaped implied volatility curves have occasionally be observed. We show that such shapes can be reproduced in a mixture of two variance-gamma models. This is in contrast to lognormal models, where at least three…
A simple statement and accessible proof of a version of the Fundamental Theorem of Asset Pricing in discrete time is provided. Careful distinction is made between prices and cash flows in order to provide uniform treatment of all…
A classical portfolio theory deals with finding the optimal proportion in which an agent invests a wealth in a risk-free asset and a probabilistic risky asset. Formulating and solving the problem depend on how the risk is represented and…
In this paper we consider the problem of pricing multiple differentiated products. This is challenging as a price change in one product, not only changes the demand of that particular product, but also the demand for the other products. To…
We consider the problem of rationalizing choice data by a preference satisfying an arbitrary collection of invariance axioms. Examples of such axioms include quasilinearity, homotheticity, independence-type axioms for mixture spaces,…
We propose a tube-based guaranteed cost model predictive controller considering a homothetic formulation for constrained linear systems subject to multiplicative structured norm-bounded uncertainties. It provides an upper bound to the…
Existing approaches to asset-pricing under model-uncertainty adapt classical utility-maximization frameworks and seek theoretical comprehensiveness. We move toward practice by considering binary model-risks and by emphasizing 'constraints'…
An elliptic divisibility sequence, generated by a point in the image of a rational isogeny, is shown to possess a uniformly bounded number of prime terms. This result applies over the rational numbers, assuming Lang's conjecture, and over…
Models allowing for random heterogeneity, such as mixed logit and latent class, are generally observed to obtain superior model fit and yield detailed insights into unobserved preference heterogeneity. Using theoretical arguments and two…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…