Segmentation is a core strategy in modern marketing and age-specific segmentation, which is based on the age of the consumers, is very common in practice. A characteristic of age-specific segmentation is the change of the segments composition during time, which may be studied only using dynamic...

In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the presence of minimum guarantee requirements on the performance of the portfolio. We briefly discuss different possibilities for the formulation of the problem and present a quite...

In this contribution, we study options on assets which pay discrete dividends. We focus on American options, as when dealing with equities, most traded options are of American-type. In particular, we analyze implied volatilities in the model proposed by Haug et al. [12] and in the binomial...

Richardson extrapolation (RE) is a commonly used technique in financial applications for accelerating the convergence of numerical methods. Particularly in option pricing, it is possible to refine the results of several approaches by applying RE, in order to avoid the difficulties of employing...

In a previous paper, we proposed two heuristic algorithms for the euclidean 2-period Balanced Travelling Salesman Problem (2B-TSP). In this problem, which arises from a similar one introduced by Butler et al., a certain number of customers must be visited at minimum total cost over a period of...

The paper concerns the study of equilibrium points, namely the stationary solutions to the closed loop equation, of an infinite dimensional and infinite horizon boundary control problem for linear partial differential equations. Sufficient conditions for existence of equilibrium points in the...

In this contribution we carried out a wide simulation analysis in order to study the contagion mechanism induced in a portfolio of bank loans by the presence of business relationships among the positions. To this aim we jointly apply a structural model based on a factor approach extended in...

We study the performance of four market protocols that lead to allocative efficiency: batch auction, continuous double auction, specialist dealership, and a hybrid of these last two. In a former study, we compared them with respect to several additional performance criteria under the assumption...

In this paper we conjugate the operative usability of the net present value with the capability of the fuzzy and the interval approaches to manage uncertainty. Our fuzzy interval net present value can be interpreted, besides the usual present value of an investment project, as the present value...

In this contribution, we consider options written on stocks which pay cash dividends. Dividend payments have an effect on the value of options: high dividends imply lower call premia and higher put premia. While exact solutions to problems of evaluating both European and American call options...