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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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On the Principle of Fermat-Lagrange for Mixed Smooth-Convex Extremal Problems
Brinkhuis, Jan - 1998
A necessary condition - the Principle of Fermat-Lagrange - is offered for mixed smooth-convexoptimization problems. This generalizes and unifies most of the known necessary conditions forconcrete finite and infinite dimensional optimization problems of interest. The new idea in comparisonwith...
Persistent link: https://www.econbiz.de/10010324495
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On Classes of Generalized Convex Functions, Farkas-Type Theorems and Lagrangian Duality
Frenk, J.B.G.; Kassay, G. - 1997
In this paper we introduce several classes of generalized convexfunctions already discussed in the literature and show the relationbetween those function classes. Moreover, for some of those functionclasses a Farkas-type theorem is proved. As such this paper unifiesand extends results existing...
Persistent link: https://www.econbiz.de/10010324692
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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
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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
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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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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
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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
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Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
del Negro, Marco; Schorfheide, Frank - 2006
In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) models, prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or presample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of...
Persistent link: https://www.econbiz.de/10010292279