This paper considers the option pricing when dynamic portfolios are discretely rebalanced.

The aim of this paper is to accommodating the existing affine jump- diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class.

This paper shows the advantages of staged investments for venture capitalists.

We propose the novel constructive approach by which a neuro fuzzy network is built up with the help of a constrained optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy.

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

The option pricing model by Black and Scholes (1973) and the term structure model by Ho and Lee (1986) are among the most influential models of capital market theory. (...)

Die vorliegende Arbeit versucht, die zentralen ökonomischen Aussagen der Bewertungstheorie in einem einfachen einperiodigen Modell darzustellen.

Die vorliegende Arbeit ermittelt Optionsbewertungsformeln für denSprung/Diffusionsfall unter modellexogenem und -endogenem Zins, basierend auf einer im Vergleich zur Literatur wesentlichmodifizierten Sprungdarstellung.

In modern finance, the value of an active investment strategy is measured by comparing its performance against the benchmark of passively holding the market portfolio and the riskless asset.(...)

We build a multi-factor, no-arbitrage model of the term structure of spot interest rates. The stochastic factors are the short-term interest rate and the premia of the futures rates over the short-term interest rates.(...)