Rezension: Standardwerk (erstmals 1967) in nunmehr 13. Auflage (zuletzt: ID 28/02). Nachdem mit der 12. Auflage (2006, hier nicht besprochen) bereits Gliederung und Inhalt grundlegend neu strukturiert und ergänzt wurden, enthält diese Ausgabe weitere Präzisierungen und etliche kleinere...

The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in which evolution of price processes for a saving account and stocks depends on an observable Markov chain. The pricing function is evaluated using the martingale approach. The...

The thesis provides an algorithmic approach to the scheduling problem for call centre agents. It shows that this problem is NP-complete and even inapproximable. A broad statistical analysis of call data from a call centre is contained, too.

In this paper, we propose Phillips-Perron type, semiparametric testing procedures to distinguish a unit root process from a mean-reverting exponential smooth transition autoregressive one. The limiting nonstandard distributions are derived under very general conditions and simulation evidence...