We combine and extend two existing lines of research in game theoretic studies of fisheries, building up on Quirk and Smith (1977), Anderson (1975), Fisher and Mirman (1996), Sumaila (1997) and most recently Datta and Mirman (1999) who developed either static or discrete time models, not...

The geometric mean reversion process X([dot operator]) is well known to play a fundamental role in economic dynamic models. While it is known, at least since Merton (1975), that the equilibrium distribution of geometric mean reversion, i.e. the distribution of X([infinity]), is a gamma...

In this paper the performance of locally risk-minimizing delta hedge strategies for European options in stochastic volatility models is studied from an experimental as well as from an empirical perspective. These hedge strategies are derived for a large class of diffusion-type stochastic...

We discuss the application of gradient methods to calibrate mean reverting stochastic volatility models. For this we use formulas based on Girsanov transformations as well as a modification of the Bismut-Elworthy formula to compute the derivatives of certain option prices with respect to the...

Due to the increasing risk of inflation and diminishing pension benefits, insurance companies have started selling in°ation-linked products. Selling such products the insurance company takes over some or all of the inflation risk from their customers. On the other side financial derivatives...

We show that under the Black-Scholes assumption the price of an arithmetic average Asian call option with fixed strike increases with the level of volatility. This statement is not trivial to prove and for other models in general wrong. In fact we demonstrate that in a simple binomial model no...

The Malliavin derivative operator is classically defined with respect to the standard Brownian motion on the Wiener space C0[0,T]. We define the Malliavin derivative with respect to arbitrary Brownian motions on general probability spaces and compute how the Malliavin derivative of a functional...

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and...

We show that under the Black Scholes assumption the price of an arithmetic average Asian call option with fixed strike increases with the level of volatility . This statement is not trivial to prove and for other models in general wrong. In fact we demonstrate that in a simple binomial model no...

We prove that the Heston volatility is Malliavin differentiable under the classical Novikov condition and give an explicit expression for the derivative. This result guarantees the applicability of Malliavin calculus in the framework of the Heston stochastic volatility model. Furthermore we...