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Displaying 801 –
820 of
1948
The indifference valuation problem in incomplete binomial models is analyzed. The model is more general than the ones studied so far, because the stochastic factor, which generates the market incompleteness, may affect the transition propabilities and/or the values of the traded asset as well as the claim’s payoff. Two pricing algorithms are constructed which use, respectively, the minimal martingale and the minimal entropy measures. We study in detail the interplay among the different kinds of...
We study infinite asymptotic games in Banach spaces with a finite-dimensional decomposition (F.D.D.) and prove that analytic games are determined by characterising precisely the conditions for the players to have winning strategies. These results are applied to characterise spaces embeddable into sums of finite dimensional spaces, extending results of Odell and Schlumprecht, and to study various notions of homogeneity of bases and Banach spaces. The results are related to questions of rapidity...
We apply the theory of infinite two-person games to two well-known problems in topology: Suslin’s Problem and Arhangel’skii’s problem on the weak Lindelöf number of the topology on a compact space. More specifically, we prove results of which the following two are special cases: 1) every linearly ordered topological space satisfying the game-theoretic version of the countable chain condition is separable, and 2) in every compact space satisfying the game-theoretic version of the weak Lindelöf...
We propose a class of discrete-time stochastic models for the pricing of inflation-linked assets. The paper begins with an axiomatic scheme for asset pricing and interest rate theory in a discrete-time setting. The first axiom introduces a "risk-free" asset, and the second axiom determines the intertemporal pricing relations that hold for dividend-paying assets. The nominal and real pricing kernels, in terms of which the price index can be expressed, are then modelled by introducing a Sidrauski-type...
In this survey paper we present recent advances in some classes of differential game in
which there is an asymmetry of information between the players. We explain that—under
suitable structure conditions—these games have a value, which can be characterized in
terms of (new) Hamilton-Jacobi equations.
The risk minimizing problem in the multidimensional Black-Scholes framework is studied. Specific formulas for the minimal risk function and the cost reduction function for basket derivatives are shown. Explicit integral representations for the risk functions for l(x) = x and , with p > 1 for digital, quantos, outperformance and spread options are derived.
Financial investors often face an urgent need to predict the future. Accurate forecasting may allow investors to be aware of changes in financial markets in the future, so that they can reduce the risk of investment. In this paper, we present an intelligent computing paradigm, called the Complex Neuro-Fuzzy System (CNFS), applied to the problem of financial time series forecasting. The CNFS is an adaptive system, which is designed using Complex Fuzzy Sets (CFSs) whose membership functions are complex-valued...
Currently displaying 801 –
820 of
1948