Let X1,X2,… be independent random variables observed sequentially and such that X1,…,Xθ−1 have a common probability density p0, while Xθ,Xθ+1,… are all distributed according to p1≠p0. It is assumed that p0 and p1 are known, but the time change θ∈Z+ is unknown and the goal is to...

Classical measure underpins the foundations of financial derivative pricing, as the classical expectation satisfies the essential principles of replicability (linearity) and no-arbitrage (positivity) required by any reasonable pricing model. Quantum measure extends this by allowing payoffs to be...

We develop a dynamic Bayesian model for clickthrough and conversion probabilities of paid search advertisements. These probabilities are subject to changes over time, due to e.g. changing consumer tastes or new product launches. Yet, there is little empirical research on these dynamics. Gaining...

Classical measure underpins the foundations of financial derivative pricing, as the classical expectation satisfies the essential principles of replicability (linearity) and no-arbitrage (positivity) required by any reasonable pricing model. Quantum measure extends this by allowing payoffs to be...

The psychological basis for rank-dependent probability weighting, and for an inverse-S probability weighting function (PWF) in particular, has often been questioned. I examine the existence and shape of the PWF in a model allowing for optimism/pessimism over probability distributions and for...

Was in Märkten sich künftig ereignen wird, kann man nicht wissen, nur erwarten. Was man erwartet, wird in der Ökonomik probabilistisch eingearbeitet: als Risikoentscheidungen. Elena Esposito zufolge besteht unter Ökonomen aber ein fundamentales Missverständnis bezüglich der...

Humans are notoriously bad at understanding probabilities, exhibiting a host of biases and distortions that are context dependent. This has serious consequences on how we assess risks and make decisions. Several theories have been developed to replace the normative rational expectation theory at...

Two of the most well known regularities observed in preferences under risk and uncertainty are ambiguity aversion and the Allais paradox. We study the behav- ior of an agent who can display both tendencies simultaneously. We introduce a novel notion of preference for hedging that applies to both...