A natural characterization of nonlinear cost rules
We prove a new characterization of cost rules based on the relationship between the classes of unambiguous and nonwasteful assets in incomplete frictionless markets.
Bifurcation analysis of a Kaldor-Kalecki model of business cycle with time delay.
Events of Borel Sets, Construction of Borel Sets and Random Variables for Stochastic Finance
We consider special events of Borel sets with the aim to prove, that the set of the irrational numbers is an event of the Borel sets. The set of the natural numbers, the set of the integer numbers and the set of the rational numbers are countable, so we can use the literature [10] (pp. 78-81) as a basis for the similar construction of the proof. Next we prove, that different sets can construct the Borel sets [16] (pp. 9-10). Literature [16] (pp. 9-10) and [11] (pp. 11-12) gives an overview, that...
Neimark-Sacker bifurcation in a discrete-time financial system.
On the Measurement of financial market integration
Principal-agent approach to environmental improvements policies
Successful solution to any environmental problem implies working with Knightian uncertainty that explicitly deals with decision making under conditions of unstructured randomness. A 'wild' type of randomness that we will never discern due to its unstable properties makes the assignment of corresponding probabilities impossible. For that reason, the consideration of general economical factors within cost/benefit analysis must fail. So, instead of governmental intervention and a cup and trade scheme,...
Robustness regions for measures of risk aggregation
One of risk measures’ key purposes is to consistently rank and distinguish between different risk profiles. From a practical perspective, a risk measure should also be robust, that is, insensitive to small perturbations in input assumptions. It is known in the literature [14, 39], that strong assumptions on the risk measure’s ability to distinguish between risks may lead to a lack of robustness. We address the trade-off between robustness and consistent risk ranking by specifying the regions in...
Thoughts about Selected Models for the Valuation of Real Options
This paper discusses option valuation logic and four selected methods for the valuation of real options in the light of their modeling choices. Two of the selected methods the Datar–Mathews method and the Fuzzy Pay-off Method represent later developments in real option valuation and the Black & Scholes formula and the Binomial model for option pricing the more established methods used in real option valuation. The goal of this paper is to understand the big picture of real option valuation models...
Über eine allgemeine Relation zwischen Todesfall-Versicherung und Rente
Warranty optimization in a dynamic environment.