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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - 2005
In some recent papers, such as Elliott & van der Hoek, Hu & Öksendal, a fractional Black-Scholes model have been proposed as an improvement of the classical Black-Scholes model. Common to these fractional Black-Scholes models, is that the driving Brownian motion is replaced by a fractional...
Persistent link: https://www.econbiz.de/10010281205
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Sustainability of the theories developed by mathematical finance and mathematical economics with applications
Wong, Wing Keung (contributor) - 2020
The topics studied in this Special Issue include a wide range of areas in finance, economics, tourism, management, marketing, and education. The topics in finance include stock market, volatility and excess returns, REIT, warrant and options, herding behavior and trading strategy, supply...
Persistent link: https://www.econbiz.de/10012431046
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The Polish Growth Miracle: Outcome of Persistent Reform Efforts
Lehmann, Hartmut - 2012
Poland's economy has been outstanding if we take GDP growth as our measure. It is not specific reforms that can explain this …-friendly governments were voted out of office, the new governments in Poland never reversed reforms undertaken by the previous government …
Persistent link: https://www.econbiz.de/10010331399
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A two-thirds rate of success: Polish transformation and economic development, 1989 - 2008
Kolodko, Grzegorz W. - 2009
abilities of the relevant country. In Poland, during 20 years of comprehensive systemic shift, GDP increased more than in any … competitiveness or in growth in terms of quantity, but also social and cultural aspects should be taken into account. In Poland, there … theories. Poland's transformation can be seen as a success, but only to the extent of achieving two-thirds of its potential. …
Persistent link: https://www.econbiz.de/10010273403
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Financial markets and economic growth in Poland : simulations with an econometric model
Wdowiński, Piotr - 2005
economic growth in Poland over the period Q2, 1993 – Q2, 2003. …
Persistent link: https://www.econbiz.de/10010277058
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Cephoids: Minkowski sums of deGua Simplices : Theory and applications
Rosenmüller, Joachim - 2019
Research (Optimization), in Mathematical Economics (Free Trade theory), and in Cooperative Game Theory. In particular, in the … context of Cooperative Game Theory the notions of a Cephoid serves to construct "solutions" or "values" for bargaining …
Persistent link: https://www.econbiz.de/10012388846
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Stationäre Bevölkerungen: Anwendungsmöglichkeiten finanzmathematischer und demographischer Methoden zur Analyse des Einflusses von Wanderungen auf die langfristige Bevölkerungsentw...
Pflaumer, Peter - 1993
Methods from financial mathematics and demography are presented in order to investigate the influence of migration on … the long-term population development. Methods from financial mathematics do not take the age structure of a population …
Persistent link: https://www.econbiz.de/10010398156
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Multivariate Copula Models at Work: Outperforming the desert island copula?
Fischer, Matthias J.; Köck, Christian; Schlüter, Stephan - 2007
Since the pioneering work of Embrechts and co-authors in 1999, copula models enjoy steadily increasing popularity in finance. Whereas copulas are well-studied in the bivariate case, the higher-dimensional case still offers several open issues and it is by far not clear how to construct copulas...
Persistent link: https://www.econbiz.de/10010299767
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Das Äquivalenzprinzip der Finanzmathematik
Walther, Ursula - 2002
Das Äquivalenzprinzip der Finanzmathematik vergleicht und bewertet Zahlungsströme. Dazu ist eine Bewertung von Zeit und … Darstellungsweise gibt einen einheitlichen formalen Rahmen. In der Finanzmathematik wird Zeit durch Verzinsung bewertet. Bei der …The principle of equivalence in mathematics of finance compares and values cash flows. It requires a valuation of time …
Persistent link: https://www.econbiz.de/10010305677
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On the Public Economics of Annuities with Differential Mortality
Bommier, Antoine; Leroux, Marie-Louise; Lozachmeur, … - 2010
This paper studies the problem of redistribution between individuals having different mortality rates. We use a continuous time model in which there are two types of individuals characterized by different survival probability paths. Individual preferences are represented by a generalized...
Persistent link: https://www.econbiz.de/10011753199