In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test against the alternative of either an abrupt or smooth...

We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, computed taking into account the form of the graph of the option price, related to our strategy,...

We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between choices of risk function (e.g. VaR vs CVaR); choice...

An empirical model is presented linking inflation and unemployment rate to the change in the level of labour force in Switzerland. The involved variables are found to be cointegrated and we estimate lagged linear deterministic relationships using the method of cumulative curves, a simplified...

This article presents a theoretical model for a dynamic system based on sustainable development. Due to the relatively absence of theoretical studies and practical issues in the area of sustainable development, Romania aspires to the principles of sustainable development. Based on the concept as...

We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the growth of the slope for infinite activity exponential Levy models. As auxiliary results, we obtain the limiting values of short maturity digital call options, using...

This paper includes an original self contained proof of well-posedness of an initial-boundary value problem involving a non-local parabolic PDE which naturally arises in the study of derivative pricing in a generalized market model. We call this market model a semi-Markov modulated market....

We consider a general one-factor short rate model, in which the instantaneous interest rate is driven by a univariate diffusion with time independent drift and volatility. We construct recursive formula for the coefficients of the Taylor expansion of the bond price and its logarithm around...

We develop a version of the fundamental theorem of asset pricing for discrete-time markets with proportional transaction costs and model uncertainty. A robust notion of no-arbitrage of the second kind is defined and shown to be equivalent to the existence of a collection of strictly consistent...

We investigate the effect of tax evasion on the income distribution and the inequality index of a society through a kinetic model described by a set of nonlinear ordinary differential equations. The model allows to compute the global outcome of binary and multiple microscopic interactions...