Generalized cooperative games and markets
Generalized CreditRisk+ model and applications
In the paper we give a mathematical overview of the CreditRisk+ model as a tool used for calculating credit risk in a portfolio of debts and suggest some other applications of the same method of analysis.
Generalized duration measures in a risk immunization setting. Implementation of the Heath-Jarrow-Morton model
The aim of this paper is to set different lower bounds on the change of the expected net cash flow value at time H > 0 in general term structure models, referring to the studies of Fong and Vasiček (1984), Nawalkha and Chambers (1996), and Balbás and Ibáñez (1998) among others. New immunization strategies are derived with new risk measures: generalized duration and generalized M-absolute of Nawalkha and Chambers, and exponential risk measure. Furthermore, examples of specific one-factor HJM models...
Generalized quasi-variational inequalities and duality.
Generated fuzzy implications and fuzzy preference structures
The notion of a construction of a fuzzy preference structures is introduced. The properties of a certain class of generated fuzzy implications are studied. The main topic in this paper is investigation of the construction of the monotone generator triplet , which is the producer of fuzzy preference structures. Some properties of mentioned monotone generator triplet are investigated.
Génération automatique de mots circulaires et équilibres
Generation of predictive price and trading volume patterns in a model of dynamically evolving free market supply and demand.
Geography played on an -cycle times a 4-cycle.
Geometric properties of multivariate correlation in de Finetti's approach to insurance theory.
Gini indices and the moments of the share density function
The expected value of the share density of the income distribution can be expressed in terms of the Gini index. The variance of the share density of the income distribution is interesting because it gives a relationship between the first and the second order Gini indices. We find an expression for this variance and, as a result, we obtain some nontrivial bounds on these Gini indices. We propose new statistics on the income distribution based on the higher moments of the share density function. These...
Global Hopf bifurcation analysis for a time-delayed model of asset prices.
Global properties of symmetric competition models with riddling and blowout phenomena.
Global stability, periodic solutions, and optimal control in a nonlinear differential delay model.
Graph pattern analysis with PatternGravisto.
Grapho-analytic method of solving 2 × n bi-matrix games
Greatly increased practical usefulness of two-person game theory by adoption of median criterion
Growth, technology, and environmental change -- nonlinearity and non-constant returns.
Growth versus environment in dynamic models of capital accumulation.
Growth-optimal portfolios under transaction costs
This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depends on an external process of economic factors. There are transaction costs with a structure that covers, in particular, the case of fixed plus proportional costs. We prove that there exists a self-financing trading strategy maximizing the average growth rate of the portfolio wealth. We show that this strategy has a Markovian form. Our result is obtained...
Grüss-type bounds for the covariance of transformed random variables.