We outline a martingale duality method for determining the minimal entropy martingale measure in a general continuous semimartingale model, and provide the relevant verification results. This method is illustrated by a detailed case study of the Stein and Stein stochastic volatility model driven...

Asset prices discounted by a tradable numeraire N should be (local) martingales under some measure Q that is equivalent to the original probability measure P. Instead of studying the set of equivalent martingale measures with respect to a prespecified numeraire, we will look for a tradable...

We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use...

We focus on two particular aspects of model risk: the inability of a chosen model to fit observed market prices at a given point in time (calibration error) and the model risk due to the recalibration of model parameters (in contradiction to the model assumptions). In this context, we use...

This paper investigates the properties of knowledge production in academic research using a panel of 17 OECD countries reaching from 1989 to 1996. The production process is modelled using capital and labour as inputs and the number of published international journal articles and/or the number of...

Gegenstand der Arbeit ist die Qualität von Berufsakademien aus Arbeitgebersicht. Es erfolgt zunächste eine Aufarbeitung der theoretischen Grundlagen für Dienstleistungsqualität, insbesondere aus der Perspektive von Bildungsinstitutionen, insbesondere von Berufsakademien. Anschließend...

In our paper we summarise the findings of an empirical study in which a sample of 346 journals in economics and business studies were examined. We regard both the extent and the quality of journals’ data policies, which should facilitate replications of published empirical research. The paper...

This paper employs a unique dataset on articles, authors and editors of the top general interest journals in economics to investigate the role of social connections in the publication process. Ties between editors and authors are identified based on their academic histories. Results show that an...