Utility functions that are additively-separable in goods consumption and leisure are often used in dynamic stochastic general equilibrium (DSGE) models. This paper illustrates how the use of an elliptical functional form for the utility of leisure can be substituted for the more common constant...

The classical cobweb theorem is extended to include production lags and price forecasts. Price forecasting based on a longer period has a stabilizing effect on prices. Longer production lags do not necessarily lead to unstable prices; very long lags lead to cycles of constant amplitude. The...

In this note, we propose a model where a quantity setting monopolist has incomplete knowledge of the demand function. In each period, the firm sets the quantity produced observing only the selling price and the slope of the demand curve at that quantity. Given this information and through a...

Nelle applicazioni finanziarie del metodo Montecarlo e Quasi–Montecarlo, uno dei problemi più comuni è il campionamento da una data distribuzione cumulata. In questo documento, tra i diversi approcci, ci riferiamo al metodo della “Trasformata inversa” e proponiamo un nuovo algoritmo per...

The article analyses an approach to construction of the mathematical model for the bank based upon set theory and abstract algebra. It is shown that selection of correspond algebraic structure for simulation is influence directly on basis of methods for solving engineering and economical...

We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automat-ically makes them singular. As a result, one cannot just...

We consider the problem of finding a valid covariance matrix in the FX market given an initial non-PSD estimate of such a matrix. The standard no-arbitrage assumption implies additional linear constraints on such matrices, which automatically makes them singular. As a result, one cannot just...

Market mechanisms are increasingly being used as a tool for allocating somewhat scarce but unpriced rights and resources, such as air and water. Tradable permits have emerged as the most cost–effective measure leading to the emergence of both nationwide (SO2) and supranational (CO2) emission...

The article analyses an approach to construction of the mathematical model for the commercial banking industry based upon set theory, abstract algebra, and computational linguistics.

Implicit in the text-book monopoly is an assumption of complete and instantaneous information or knowledge available to economic agents at free of charge. Under such circumstances, knowing the certain price and cost functions, the monopolist can make an optimal decision of price and output to...