It may not be an overstatement that one of the most widely reported measures of variation involves S <Superscript>2</Superscript>, the sample variance, which is also well-known to be alternatively expressed in the form of an U statistic with a symmetric kernel of degree 2 whatever be the population distribution function....</superscript>

Motivated by an optimal investment problem under time horizon uncertainty and when default may occur, we study a general structure for an incomplete semimartingale model extending the classical terminal wealth utility maximization problem. This modelling leads to the formulation of a wealth-path...

We propose a non-symmetric copula to model the evolution of electricity and gas prices by a bivariate non-Gaussian autoregressive process. We identify the marginal dynamics as driven by normal inverse Gaussian processes, estimating them from a series of observed UK electricity and gas spot data....

Abstract Behavioural finance has challenged many claims of efficient market hypothesis (EMH). Unfortunately many of these challenges are in the form of anecdotal evidence and lack quantification. This article uses market data together with some simple statistics to show that in practice certain...

This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the...

We apply the results of Malliavin-Thalmaier-Watanabe for strong and weak Taylor expansions of solutions of perturbed stochastic differential equations (SDEs). In particular, we determine weight expressions for the Taylor coefficients of the expansion. The results are applied to LIBOR market...

In some recent papers (Elliott and van der Hoek 2003; Hu and Øksendal 2003) a fractional Black-Scholes model has been proposed as an improvement of the classical Black-Scholes model (see also Benth 2003; Biagini et al. 2002; Biagini and Øksendal 2004). Common to these fractional Black-Scholes models is...

In this paper, we develop a multivariate risk-neutral Levy process model and discuss its applicability in the context of the volatility smile of multiple assets. Our formulation is based upon a linear combination of independent univariate Levy processes and can easily be calibrated to a set of...

Financial economics and mathematical finance are the two traditional scientific disciplines that constitute modern financial theory. Although they still largely dominate modern financial theory, in the past few years a new “player” has increasingly been making itself felt and could lead to a...