There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

There has been an on-going debate about choices of the most suitable model amongst a variety of model specifications and parameterizations. The first dissertation essay investigates whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with...

For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before, only flow consumption is allowed. The agent's...

This article shows that the nonstandard approach to stochastic integration with respect to (C^2 functions of) Lévy processes is consistent with the classical theory of pathwise stochastic integration with respect to (C^2 functions of) jump-diffusions with finite-variation jump part.It is proven...

The main aim of this thesis is the development of locally risk-minimizing hedging strategies for unit-linked life insurance contracts whose unit is modeled in a general Lévy-process financial market. It therefore merges the quite advanced and in recent years developed theory of...

We consider the optimal pricing problem in a service facility in order to maximize its long-run average profit per unit time. We model the facility as a queueing process that may havefinite or infinite capacity. Customers are admitted into the system if it is not full and if they are willing to...

In the first section, a firm with two servers must decide how to dynamically route arriving customers and allocate servers to two separate queues. The servers may work together or separately, and we provide insights into how the firm should optimally route customers and assign servers to queues....

In this thesis, we study the repair shop scheduling problem(repair-to-stock) and the production/inventory system pricing and production scheduling problem(make-to-stock). For both types of problems, we compare the performance of different scheduling policies. For the make-to-stock type problem,...

Der Call Center-Markt hat Ende der 90er Jahre und Anfang des neuen Jahrtausends einen rasanten Aufschwung mit zum Teil sehr hohen Ums?tzen erfahren, was zur Folge hatte, dass immer mehr Auskunftsdienstleister auf dem Markt kamen. Als Konsequenz daraus resultiert nun eine versch?rfte...

In dieser Arbeit setzen wir uns mit den Auswirkungen von Risikobeschränkungen auf das optimale Verhalten eines Investors auseinander, welcher versucht, den erwarteten Endnutzen zu einem festgelegten Zeitpunkt zu maximieren. Dazu kann er ein vorgegebenes Anfangsvermögen in einem Markt...