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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

Sales force deployment by genetic concepts

Sprecher, Arno - 1999

Sales force management decisions belong to the major issues considered in marketing research. Among others, the alignment of sales territories has been one of the main field of work for years. Recent results have reported a strong impact of the alignment of sales territories on profit, and,...

Persistent link: https://www.econbiz.de/10011558753

Cost Sharing under Uncertainty: An Algorithmic Approach to Cooperative Interval-Valued Games

Kimms, Alf; Drechsel, Julia - In: BuR - Business Research 2 (2009) 2, pp. 206-213

Recently, Branzei, Dimitrov, and Tijs (2003) introduced cooperative interval-valued games. Among other insights, the notion of an interval core has been coined and proposed as a solution concept for interval-valued games. In this paper we will present a general mathematical programming algorithm...

Persistent link: https://www.econbiz.de/10010421344

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

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 … two approaches. The classical Bernoulli's rule rests on individual preferences while modern capital market theory offers a …

Persistent link: https://www.econbiz.de/10010305677

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

Spectral estimation of the fractional order of a Lévy process

Belomestny, Denis - 2009

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

Persistent link: https://www.econbiz.de/10010263764

Lasso-type and heuristic strategies in model selection and forecasting

Savin, Ivan; Winker, Peter - 2012

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

Persistent link: https://www.econbiz.de/10010291802

DEA problems under geometrical or probability uncertainties of sample data

Althaler, Karl S.; Slavova, Tatjana - 2000

This paper discusses the theoretical and practical aspects of new methods for solving DEA problems under real-life geometrical uncertainty and probability uncertainty of sample data. The proposed minimax approach to solve problems with geometrical uncertainty of sample data involves an...

Persistent link: https://www.econbiz.de/10010292786

The method of endogenous gridpoints for solving dynamic stochastic optimization problems

Carroll, Christopher D. - 2005

This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided.

Persistent link: https://www.econbiz.de/10010293486

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