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Fixed points of parameterized perturbations

McLennan, Andrew - In: Journal of mathematical economics 55 (2014), pp. 186-189

Persistent link: https://www.econbiz.de/10011297770

Uniqueness of clearing payment matrices in financial networks

Csóka, Péter; Herings, Peter Jean-Jacques - 2021

We study bankruptcy problems in financial networks in the presence of general bankruptcy laws. The set of clearing payment matrices is shown to be a lattice, which guarantees the existence of a greatest and a least clearing payment. Multiplicity of clearing payment matrices is both a theoretical...

Persistent link: https://www.econbiz.de/10012623747

Uniqueness of clearing payment matrices in financial networks

Csóka, Péter; Herings, Peter Jean-Jacques - 2021

Persistent link: https://www.econbiz.de/10012624636

Optimal fee structure of variable annuities

Wang, Gu; Zou, Bin - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 587-601

Persistent link: https://www.econbiz.de/10012793954

An impulse-regime switching game model of vertical competition

Aïd, René; Campi, Luciano; Li, Liangchen; Ludkovski, Mike - In: Dynamic games and applications : DGA 11 (2021) 4, pp. 631-669

Persistent link: https://www.econbiz.de/10012666343

Unique Tarski fixed points

Marinacci, Massimo; Montrucchio, Luigi - In: Mathematics of operations research 44 (2019) 4, pp. 1174-1191

Persistent link: https://www.econbiz.de/10012128347

Conic trading in a Markovian steady state

Madan, Dilip B.; Pistorius, Martijn; Schoutens, Wim - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-22

Persistent link: https://www.econbiz.de/10011686840

Optimal exchange rates management using stochastic impulse control for geometric Lévy processes

Wu, Jinbiao - In: Mathematical methods of operations research 89 (2019) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10012010370

Endogenous current coupons

Cheng, Zhe; Robertson, Scott - In: Finance and stochastics 21 (2017) 4, pp. 1027-1071

Persistent link: https://www.econbiz.de/10011944474

A threshold type policy for trading a mean-reverting asset with fixed transaction costs

Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks : open access journal 6 (2018) 4, pp. 1-15

A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

Persistent link: https://www.econbiz.de/10011906215