Vorliegende Dissertation beschäftigt sich mit der Komplexität in Unternehmensplanspielen.

This study provides a basic introduction to agent-based modeling (ABM) as apowerful blend of classical and constructive mathematics, with a primary focus onits applicability for social science research. The typical goals of ABM social scienceresearchers are discussed along with the culture-dish...

The "common effect" model in program evaluation assumes that all treated individuals have the same impact from a program. Our paper contributes to the recent literature that tests and goes beyond the common effect model by investigating impact heterogeneity using data from the experimental...

This work deals with a generalization of the Total Least Squaresmethod in the context of the functional linear model. We first propose asmoothing splines estimator of the functional coefficient of the model withoutnoise in the covariates and we obtain an asymptotic result for this...

This paper approximates stochastic integrals with respect to the geometric Brownian motion by stochastic integrals over discretized integrands, where deterministic, but not necessarily equidistant, time nets are used.

We analyze numerically the superreplication problem and the associatedhedging strategy in an illiquid binomial market. We prove theexistence of an optimal feedback strategy for European and barrier optionsand compute it numerically by means of a dynamic programmingprinciple. We exhibit that the...

This study explores the information content of HML and SMB by linking the Fama-French factors toshocks in the state variables which predict future investment opportunities. It shows that the HMLfactor contains information about shocks to default spread. Moreover, the Fama-French modelexplains...

The American put is one of the oldest problems in mathematical finance. We review the development of the relevant literature over the last 40 years. Today the mainstream computational problems have been solved satisfactorily and the target of research is shifting towards the development of...

We propose a class of new robust GMM tests for endogenous structural breaks. The tests are based on supremum and average statistics derived from robust GMM estimators with a bounded influence function. They imply a bounded linearized asymptotic bias of size and power under local model...