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The degree measure as utility function over positions in networks
Brink, René van den; Rusinowska, Agnieszka - 2017
In this paper, we connect the social network theory on centrality measures to the economic theory of preferences and … utility. Using the fact that networks form a special class of cooperative TU-games, we provide a foundation for the degree … measure as a von Neumann-Morgenstern expected utility function reflecting preferences over being in different positions in …
Persistent link: https://www.econbiz.de/10011688772
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Degree centrality, von Neumann-Morgenstern expected utility and externalities in networks
Brink, René van den; Rusinowska, Agnieszka - 2023
Neumann-Morgenstern expected utility functions using cooperative game theory. The social network literature studies various … measures can be supported as von Neumann-Morgenstern expected utility functions, reflecting preferences over different network … cooperative TU-games to give a utility foundation of a class of TU-game solutions containing the Shapley value. …
Persistent link: https://www.econbiz.de/10014369587
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A dynamic analysis of moving average rules
Chiarella, Carl; He, Xue-zhong; Hommes, Cars H. - 2005
The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type...
Persistent link: https://www.econbiz.de/10011343956
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A dynamic analysis of moving average rules
Chiarella, Carl; He, Xue-zhong; Hommes, Cars H. - 2005
Persistent link: https://www.econbiz.de/10002902581
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Pricing Interest Rate Derivatives in a Multifactor HJM Model with Time
Beyna, Ingo; Chiarella, Carl; Kang, Boda - Finance Discipline Group, Business School - 2012
We investigate the partial differential equation (PDE) for pricing interest derivatives in the multi-factor Cheyette Model, which involves time-dependent volatility functions with a special structure. The high dimensional parabolic PDE that results is solved numerically via a modified sparse...
Persistent link: https://www.econbiz.de/10010643374
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The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach
Chiarella, Carl; Kang, Boda - Finance Discipline Group, Business School - 2009
A compound option (the mother option) gives the holder the right, but not obligation to buy (long) or sell (short) the underlying option (the daughter option). In this paper, we demonstrate a partial differential equation (PDE) approach to pricing American-type compound options where the...
Persistent link: https://www.econbiz.de/10004984506
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A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps
Chiarella, Carl; Nikitopoulos-Sklibosios, Christina; … - Finance Discipline Group, Business School - 2005
This paper examines the pricing of interest rate derivatives when the interest rate dynamics experience infrequent jump shocks modelled as a Poisson process and within the Markovian HJM framework developed in Chiarella & Nikitopoulos (2003). Closed form solutions for the price of a bond option...
Persistent link: https://www.econbiz.de/10004984560
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The Evaluation Of Barrier Option Prices Under Stochastic Volatility
Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - Finance Discipline Group, Business School - 2010
This paperc onsiders the problem o fnumerically evaluating barrier option prices when the dynamics of the underlying are driven by stochastic volatility following the square root process of Heston (1993). We develop a method of lines approach to evaluate the price as well as the delta and gamma...
Persistent link: https://www.econbiz.de/10008487694
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The Reverse Talmud Rule for bankruptcy problems
Brink, René van den; Funaki, Yukihiko; Laan, Gerard van der - 2008
Persistent link: https://www.econbiz.de/10003756545
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A value for directed communication situations
Gonzáles-Arangüena, E.; Manual, C.; Gómez, D.; … - 2008
Persistent link: https://www.econbiz.de/10003645062