Motivated by previous findings that discretization of financial time series can effectively filter the data and reduce the noise, this experimental study compares the trading performance of predictive models based on different modelling paradigms in a realistic setting. Different methods ranging...

We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price process is highly correlated with that of (tilde...

This paper derives optimal perfect hedging portfolios in the presence of transaction costs within the binomial model of stock returns, for a market maker that establishes bid and ask prices for American call options on stocks paying dividends prior to expiration.(...)

This paper shows a simple approach to the pricing of options on spread and some arguments in favor of modelling the spread using its two components instead of the spread itself.

This paper considers the option pricing when dynamic portfolios are discretely rebalanced.

The aim of this paper is to accommodating the existing affine jump- diffusion and quadratic models under the same roof, namely the linear-quadratic jump-diffusion (LQJD) class.

This paper shows the advantages of staged investments for venture capitalists.

We propose the novel constructive approach by which a neuro fuzzy network is built up with the help of a constrained optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy.

Many economic and econometric applications require the integration of functions lacking a closed form antiderivative, which is therefore a task that can only be solved by numerical methods. We propose a new family of probability densities that can be used as substitutes and have the property of...

Der Begriff Realoptionen umfasst jene Investitionsrechnungsverfahren, die Handlungsoptionen mithilfe finanzmathematischer Methoden aus der Optionstheorie quantitativ bewerten. Aus der Sicht von Softwareinvestitionen sind aufgrund der Rahmenbedingungen, Flexibilität spielt hierbei eine wichtige...