Was erwartet mich an der Hochschule? Werde ich den Anforderungen gerechtwerden können? Wie ist das in einer Vorlesung? Wie sind die Professoren?Wer studiert außer mir das Fach? Diese und weitere Fragen beschäftigen jedenStudienanfänger. Der Schritt von der Schule oder aus der beruflichen...

This paper extends maximum entropy estimation of discrete probabilitydistributions to the continuous case. This transition leads to a nonparametricestimation of a probability density function, preserving the maximumentropy principle. Furthermore, the derived density estimate providesa minimum...

In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond.

Wirtschaftsinformatik ist die Wissenschaft von den Informations- und Kommunikationssystemenin Wirtschaft und Verwaltung.Sie ist dabei Realwissenschaft, indem sie die Informationssysteme in Wirtschaftund Verwaltung untersucht. Sie ist Formalwissenschaft, da diese Systemeeigene formale...

We study trade patterns in a pure exchange economy where preferences are symmetric up to taste intensity parameters. In a 2-person, 2-good endowment economy, then all endowments in a particular Edgeworth box rectangle require trading out of that rectangle. Under strictly quasi-concave...

The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartingaleand its stochastic integral to a piecewise semimartingale of stochastic dimension. The propertiesof the former carry over largely intact to the latter, avoiding some of the pitfalls of...

We consider nancial positions belonging to the Banach lattice of bounded measurable functionson a given measurable space. We discuss risk measures generated by general acceptance sets allowingfor capital injections to be invested in a pre-specied eligible asset with an everywhere positive...

An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof-arbitrage property of S, and is invariant if we replace the...

We present and compare two dierent approaches to conditional riskmeasures. One approach draws from convex analysis in vector spaces andpresents risk measures as functions on Lp spaces, while the other approachutilizes module-based convex analysis where conditional risk measures aredened on Lp...

We model the dynamics of asset prices and associated derivatives by considerationof the dynamics of the conditional probability density process for the value of an assetat some specied time in the future. In the case where the asset is driven by Brownianmotion, an associated \master equation"...