This book offers essential information on the life and career of the recently deceased Giorgio P. Szegö, particularly his important contributions in various areas of mathematical programming and applications to financial markets. It highlights the developments in the fields of stability theory...

<font size="2" face="CMR10"><font size="2" face="CMR10">In this paper we propose an exchange rate model as solution of a disutility based drift control problem. Assuming the exchange rate is a function of the fundamental, we suppose that Government Authorities control the fundamental's dynamics aimed at minimizing thediscounted expected disutility...</font></font>

Classical methods for computing the value-at-risk(VaR) do not account for the large price variations observed in financial markets. The historical method is subject to event risk and may miss some fundamental market evolution relevant to VaR; the variance/covariance method tends to underestimate...

This work deals with the problem of investors' irrational behavior and financial products' misperception. The theoretical analysis of the mechanisms driving wrong evaluations of investment performances is explored. The study is supported by the application of Monte Carlo simulations to the...

 Hidden Markov Models can be considered an extension of mixture models, allowing fordependent observations. In a hierarchical Bayesian framework, we show how ReversibleJump Markov Chain Monte Carlo techniques can be used to estimate the parameters of amodel, as well as the number of regimes. We...

The paper proposes a method that solves the non-monotonic power problem of a family of structural changes in mean tests based on an orthonormal series filtering of the error process before estimating variance of the test statistics. This method yields a consistent estimator for the variance...

We have developed an agent-based computational model, extension of an analytical model1 that studies the structure of coalitions of B-to-C web sites, when Internet buyers incur search costs for finding the good that matches their preferences, and coalitions of sites reduce this cost through...