Set-valued optimisation is an important topic and has wide applications in engineering and game theory. An interesting topic in set-valued optimisation is the appropriate introduction of a derivative concept for set-valued mappings. In this paper, Dini directional derivatives are introduced and...

Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have...

AMS classifications: 47H10; 54H25; 55M20; 90C33; 91B50

Conventional (or Fisher-Weil) duration is an ordinary derivative that measures the response of portfolio value to marginal parallel shifts in the term structure, while other proposed measures are generally specific to particular interest rate processes. In this paper, we show that portfolio...

In this paper we consider a two-sex population model proposed by Hoppenstead. We do not assume any special form of the mating function. We address the problem of existence and uniqueness of continuous and classical solutions. We give sufficient conditions for continuous solutions to exist...

We provide a first-order necessary and sufficient condition for optimality of lower semicontinuous functions on Banach spaces using the concept of subdifferential. From the sufficient condition we derive that any subdifferential operator is monotone absorbing, hence maximal monotone when the...

In random effect models, error variance (stage 1 variance) and scalar random effect variance components (stage 2 variances) are a priori modeled independently. Considering the intrinsic link between the stages 1 and 2 variance components and their interactive effect on the parameter draws in...