Despite the kind of scholarly attention that has been attracted in the field ofChinese economic history in the past half a century or so, basic quantities ofsome basic factors have remained disagreed. Chinese population is one of them.For example, for the post-1350 period, the gap between...

At first time in the 124 years old history of the International Statistical Institute (ISI) a session was hold in southern of the Sahara region in Africa, from 16 to 22 August in Durban/South Africa. Hence Denise Lievesley, first female president of ISI said in the Opening Ceremony: „I hope...

It is well known that the arithmetic mean of two possibly differentcopulas forms a copula, again. More general, we focus on theweighted power mean (WPM) of two arbitrary copulas which is notnecessary a copula again, as different counterexamples reveal. However,various conditions regarding the...

This paper discusses the pitfalls in the pricing of barrier options using approximations of the underlying continuous processes via discrete lattice models. These problems are studied first in a Black-Scholes model. Improvements result from a trinomial model and a further modified model where...

This paper constructs a model for the evolution of a risky security that is consistent with a set of observed call option prices. It explicitly treats the fact that only a discrete data set can be observed in practice. The framework is general and allows for state dependent volatility and jumps....

In this paper we study Binomial Models with random time steps. We explain, how calculating values for European and American Call and Put options is straightforward for the Random-Time Binomial Model. We present the conditions to ensure weak-convergence to the Black-Scholes setup and convergence...

The problem of term structure of interest rates modelling is considered in a continuous-time framework. The emphasis is on the bond prices, forward bond prices or LIBOR rates, rather than on the instantaneous rates as in the traditional models. Forward and spot probability measures are...

The forward measure in the discrete time Ho/Lee model is derived and passages to the continuous time limit are carried out under this measure. In particular the continuous time valuation formula for call options on zero coupon bonds is obtained as a limit of its discrete time equivalent as well...

Based on multiparameter subadditive ergodic theorems of Akcoglu and Krengel (1981) and Schürger (1988) we derive an almost sure limit theorem for families of random matrices with a multiparameter which satisfy a supermultiplicativity condition. This gives a multiparameter analogue of results of...

[...]This paper contributes to the identification of adaptive expectations by using ten years of panel data from the British Household Panel Survey to study the process of adaptation based on the individual’s own previous experience. Subjective assessments of financial well-being at time t,...