We propose a simple model of a financial market populated with heterogeneous agents. The market represents a network with nodes symbolizing the agents and edges standing for connections between them, thus, embodying local interactions in the market. By local interactions we mean any kind of...

We study a model of a financial market populated with heterogenous agents whose preferences exhibit dependence on some reference level of wealth. Investment decisions of the agents are myopic and are based upon the demand for the risky asset derived from an S-shaped utility maximization. The...

We analyze a class of binary dynamic models inspired by [4] on agents’ choices and social interaction. The main feature of our analysis is that agents are heterogeneous, in particular their attitude to interact with the choices of the other agents changes over time endogenously. Although...

We analyze binary choices in a random utility model assuming that the agent's preferences are affected by conformism (with respect to the behavior of the society) and coherence (with respect to his identity). We apply the analysis to sequential voting when voters like to win.

The Dynamic Programming approach for a family of optimal investment models with vintage capital is here developed. The problem falls into the class of infinite horizon optimal control problems of PDE's with age structure that have been studied in various papers (see e.g. [11, 12], [30, 32])...

The paper concerns the study of the Pontryagin Maximum Principle for an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. The optimal control model has already been studied both in finite and infinite horizon with Dynamic Programming...

Segmentation is a core strategy in modern marketing and age-specific segmentation, which is based on the age of the consumers, is very common in practice. A characteristic of age-specific segmentation is the change of the segments composition during time, which may be studied only using dynamic...

The paper concerns the study of equilibrium points, namely the stationary solutions to the closed loop equation, of an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. Sufficient conditions for existence of equilibrium points in the...

We study the emergence of strategic behavior in double auctions with an equal number n of buyers and sellers, under the distinct assumptions that orders are cleared simultaneously or asynchronously. The evolution of strategic behavior is modeled as a learning process driven by a genetic...

This contribution deals with options on assets which pay discrete dividends. We analyze some methodologies to extract information on dividends from observable option prices. Implied dividends can be computed using a modified version of the well known put-call parity relationship. This technique...