In matching markets the number of blocking pairs is often used as a criterion to compare matchings. We argue that this criterion is lacking an economic interpretation: In many circumstances it will neither reflect the expected extent of partner changes, nor will it capture the satisfaction of...

In the decades following WWII, the Cowles Commission for Research in Economics came to represent new technical standards that informed most advances in economic theory. The public emergence of this community was manifest at a conference held in June 1949 titled Activity Analysis of Production...

Производственная функция является одним из основных понятий экономической теории. Как основа для моделирования поведения предприятий производственные...

В данной работе нами рассматриваются некоторые свойства различных производственных функций. Одним из ключевых моментов при построении эмпирических...

При оценивании производственных функций исследователь сталкивается с рядом проблем, которые в наиболее общем виде можно разделить на две группы: проблемы,...

In this paper we investigate the use of finite difference and finite element schemes when applied to the valuation of exotic options characterized by discontinuities in the payoff function. In particular, we will conduct a numerical analysis of several common schemes in order to give a better...

This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important subclass of Lévy semistationary (LSS) processes as a new framework for modelling energy spot prices. The main modelling idea consists of four principles: First, deseasonalised spot...

Seasonality is a repeatable tendency of a financial instrument to move in relation to a particular influencing factor. That factor could be the time of year, the year of a decade, changes in interest rates, inflation, energy prices, etc. We focus on stock price action and seasonal cycles derived...

After Lehman collapse, Market participants started to consider the credit risk as a major risk. It become vital to charge the potential default of the counterparty at the trading level. The CVA became rapidly a standar when two institutions want to trade a derivative product. The main task of...