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Markov-Perfect Nash Equilibria in Models with a Single Capital Stock

Dockner, Engelbert J.; Wagener, Florian O.O. - Tinbergen Instituut - 2006

Many economic problems can be formulated as dynamic games in which strategically interacting agents choose actions that determine the current and future levels of a single capital stock. We study necessary conditions that allow us to characterize Markov perfect Nash equilibria (MPNE) for these...

Persistent link: https://www.econbiz.de/10011255863

The Economics of Transboundary River Management

Ansink, Erik; Houba, Harold - Tinbergen Instituut - 2014

allows us to show how conflict and cooperation over transboundary water resources may occur. It also allows us to pay …

Persistent link: https://www.econbiz.de/10011257048

On Distributions of Ratios

Broda, Simon A.; Kan, Raymond - Tinbergen Instituut - 2014

A large number of exact inferential procedures in statistics and econometrics involve the sampling distribution of ratios of random variables. If the denominator variable is positive, then tail probabilities of the ratio can be expressed as those of a suitably defined difference of random...

Persistent link: https://www.econbiz.de/10011255898

Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors

Broda, Simon A. - Tinbergen Instituut - 2013

Countless test statistics can be written as quadratic forms in certain random vectors, or ratios thereof. Consequently, their distribution has received considerable attention in the literature. Except for a few special cases, no closed-form expression for the cdf exists, and one resorts to...

Persistent link: https://www.econbiz.de/10011256002

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

At the time of writing this article, Fourier inversion is the computational method of choice for a fast and accurate calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour of integration along the complex plane allows for...

Persistent link: https://www.econbiz.de/10011256210

Why the Rotation Count Algorithm works

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

The characteristic functions of many affine jump-diffusion models, such as Heston’s stochastic volatility model and all of its extensions, involve multivalued functions such as the complex logarithm. If we restrict the logarithm to its principal branch, as is done in most software packages,...

Persistent link: https://www.econbiz.de/10011257149

Computation of the Nucleolus for a Class of Disjunctive Games with a Permission Structure

Brink, René van den; Katsev, Ilya; Laan, Gerard van der - Tinbergen Instituut - 2008

situation in which a finite set of players can obtain certain payoffs by cooperation can be described by a cooperative game with …-game. A well-known solution is the nucleolus. A cooperative game with a permission structure describes a situation in which … cooperation possibilities by assigning to every coalition the worth of its largest feasible subset. In this paper we provide a …

Persistent link: https://www.econbiz.de/10011256279

An Algorithm for Computing the Nucleolus of Disjunctive Additive Games with An Acyclic Permission Structure

Brink, René van den; Katsev, Ilya; Laan, Gerard van der - Tinbergen Instituut - 2008

A situation in which a finite set of players can obtain certain payoffs by cooperation can be described by a … distribution to every TU-game. A well-known solution is the nucleolus. A cooperative game with a permission structure describes a … limited cooperation possibilities by assigning to every coalition the worth of its largest feasible subset. In this paper we …

Persistent link: https://www.econbiz.de/10011257037

Games on Union Closed Systems

Brink, Rene van den; Katsev, Ilya; Laan, Gerard van der - Tinbergen Instituut - 2011

A situation in which a finite set of players can obtain certain payoffs by cooperation can be described by a … every TU-game. In the literature various models of games with restricted cooperation can be found. So, instead of allowing … coalitions also their union is feasible. Properties of solutions (the core, the nucleolus, the prekernel and the Shapley value …

Persistent link: https://www.econbiz.de/10011257183

Two Values for Transferable Utility Games with Coalition and Graph Structure

Brink, Rene van den; Laan, Gerard van der; Moes, Nigel - Tinbergen Instituut - 2011

This discussion paper led to a publication in 'TOP' (forthcoming).<P> In this paper we introduce and characterize two new values for transferable utility games with graph restricted communication and a priori unions. Both values are obtained by applying the Shapley value to an associated TU-game....</p>

Persistent link: https://www.econbiz.de/10011255446