Multilevel models are widely used in education and social science research. However, theeffects of omitting levels of the hierarchy on the variance decomposition and the clusteringeffects have not been well documented...

Here we develop an approach for efficient pricing discrete-time American and Bermudan options which employs the fact that such options are equivalent to theEuropean ones with a consumption, combined with analysis of the market model over a small number of steps ahead. This approach allows...

In the 40’s and early 50’ two decision theories were proposed and have since dominated the sceneof the fascinating field of decision-making. In 1944 – when von Neumann and Morgenstern showedthat if preferences are consistent with a set of axioms then it is possible to represent these...

Variance contracts permit the trading of ’variance risk’, i.e. the risk that the realizedvariance of stock returns changes randomly over time. We discuss why investorsmight want to trade this type of risk, and why they might prefer a variance contractto standard calls and puts for this...

A random variable dominates another random variable with respectto the covariance order if the covariance of any two monotone increasingfunctions of this variable is smaller. We characterize completely thecovariance order, give strong sufficient conditions for it, present a numberof examples in...

We consider a simple random walk process, a special case ofthe Martingale model, which exhibits a deterministic break in its drift term,for instance, from positive to negative. This particular example can be aplausible model for a time series on exchange rates which displays a persistentcurrency...

We derive an explicit formula of the Watts’ poverty index, in terms of parametersof bivariate lognormal distributions of price indices and nominal livingstandards. This result enables us to: analyse the contributions of the distributionsof prices and nominal living standards in poverty;...

Lange Zeit stand man in der Marketing- und Sozialforschung vor dem Problem die kausalenZusammenhänge nicht beobachtbarer Variablen – so genannte Konstrukte – modellierenund vor allem erforschen zu können.Zwar gab es die Regressionsanalyse, mit deren Hilfe man den Einfluss mehrerer...

In this paper we determine optimal trading strategies associated withthe financial variance and standard deviation principles of Schweizer (1997). These principles take into consideration the possibilities of hedging on the financial market and are derived by an indifference argument, which...

Recently, Diebold and Li (2003) obtained good forecasting results foryield curves in a reparametrized Nelson-Siegel framework. We analyze similarmodeling approaches for price curves of variance swaps that serve nowadaysas hedging instruments for options on realized variance. We consider the...