A new method for pricing contingent claims based on an asymptotic expansion of the dynamics of the pricing density is introduced. The expansion is conducted in a preferred coordinate frame, in which the pricing density looks stationary. The resulting asymptotic Kolmogorov-backward-equation is...

Summary Our paper presents new estimates of matching functions on partial labor markets. We used extensive data, ranging from 1982 to 2003, which results in new insights, extending the knowledge obtained by former empirical studies. We also used the extended time series data to validate model...

In diesem Beitrag wird ein quantitatives Evaluierungsmodell für Multi-Level Marketingsysteme entwickelt. Das Verfahren erlaubt die Abbildungunterschiedlicher Unternehmensstrukturen, ausgehend von einemMitarbeiter-Akquisemodell. Die so gewonnene Struktur dient als Simulationsgerüst für...

This paper extends maximum entropy estimation of discrete probabilitydistributions to the continuous case. This transition leads to a nonparametricestimation of a probability density function, preserving the maximumentropy principle. Furthermore, the derived density estimate providesa minimum...

This paper introduces a new method for nonlinear continuous-discrete filtering.It is shown that the Fokker-Planck-Equation can be solved numericallyby using distributed approximating functionals (DAFs). Theapproximation is very accurate and resolves the time interval between observationsin one...