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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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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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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
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Pure Saddle Points and Symmetric Relative Payoff Games
Duersch, Peter; Oechssler, Jörg; Schipper, Burkhard C. - 2010
conditions for existence are provided. We apply our theory to a rich collection of examples by noting that the class of symmetric …
Persistent link: https://www.econbiz.de/10011422214