The paper introduces a transition from an exchange rate target zone to the free float in a dynamic general equilibrium model of production, trade and consumption under diffusion uncertainty in a small open economy. The loss of credibility and subsequent collapse of the target zone is modeled by...

The paper introduces a model of price formation in an economy with a decentralized dealership market for each of the traded securities, in continuous time. Each dealer is a competitive liquidity provider for non-dealer investors in the partial market for the given security. Quotes are in the...

After formalizing transactions, production, investment process and another economic activities author has returned back to general dynamic in portfolio play. Idea of this article is to postulate the assumption on agent's strategy on money expenditure or other asset's strategy. There are two main...

We study the ability of artificial neural networks to price the European style call and put options on the S&P 500 index covering the daily data for the period from June 2004 to June 2007. The greatest advantage of option pricing with neural networks is that we do not need to make any...

This paper deals with utility functions and their application in stochastic programming. In section 1, classification of utility functions is based on switching between gambles due to changes in wealth with a special focus on zero-switch and one-switch utility functions. All gambles are...

King and Korf [4] introduced a new framework for analyzing pricing theory for incomplete markets and contingent claims. The fundamental theorem of asset pricing was reformulated in a very general form. We mentioned in [2] that their characterization of the arbitrage-free market is not correct....

The paper deals with the transmission of monetary policy inside the fmancial sector. The objective is to link an optimizing stochastic model of portfolio decisions by a representative financial institution with a number of features that this optimizing behavior implies for the monetary...

We suggest a model that describes dynamics of the stock price and its intrinsic value in the stock market. The model is based on characterization of the market participants behavior and on the relationship between the stock market and business environment. The model deals with two commonly...