On the risk-adjusted pricing-methodology-based valuation of vanilla options and explanation of the volatility smile.
On the singular limit of solutions to the Cox-Ingersoll-Ross interest rate model with stochastic volatility
In this paper we are interested in term structure models for pricing zero coupon bonds under rapidly oscillating stochastic volatility. We analyze solutions to the generalized Cox–Ingersoll–Ross two factors model describing clustering of interest rate volatilities. The main goal is to derive an asymptotic expansion of the bond price with respect to a singular parameter representing the fast scale for the stochastic volatility process. We derive the second order asymptotic expansion of a solution...
On the statistical properties of ergodic economic systems.
On the structure of Nash equilibrium sets in partially convex games.
On the structure of the core of balanced games
The uniform competitive solutions (u.c.s.) are basically stable sets of proposals involving several coalitions which are not necessarily disjoint. In the general framework of NTU games, the uniform competitive solutions have been defined in two earlier papers of the author (Stefanescu [5]) and Stefanescu [6]). The general existence results cover most situations formalized in the framework of the cooperative game theory, including those when the coalitional function is allowed to have empty values....
On the structure of the solution of the allocation problem
On the symmetry axiom for values of nonatomic games.
On the Uniqueness of Scales Derived from Canonical Representations
On the use of the art of conjecture in juridical matters: what about (political) economics? (De usu artis conjectandi in jure: quid de oeconomia (politica)?)
On the von Neumann problem and the approximate controllability of Stackelberg-Nash strategies for some environmental problems.
Two problems arising in Environment are considered. The first one concerns a conjecture posed by von Neumann in 1955 on the possible modification of the albedo in order to control the Earth surface temperature. The second one is related to the approximate controllability of Stackelberg-Nash strategies for some optimization problems as, for instance, the pollution control in a lake. The results of the second part were obtained in collaboration with Jacques-Lois Lions.
On three-rowed chomp.
On totally bounded games
On two algorithms in music acoustics.
On two combination rules for 0-1-sequences.
On two problems regarding the Hamiltonian cycle game.
On two-point Nash equilibria in bimatrix games with convexity properties
This paper considers bimatrix games with matrices having concavity properties. The games described by such payoff matrices well approximate two-person non-zero-sum games on the unit square, with payoff functions F₁(x,y) concave in x for each y, and/or F₂(x,y) concave in y for each x. For these games it is shown that there are Nash equilibria in players' strategies with supports consisting of at most two points. Also a simple search procedure for such Nash equilibria is given.
On uniform tail expansions of multivariate copulas and wide convergence of measures
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events is particularly important, hence there is a need for a detailed study of the tail behaviour of multivariate copulas. We investigate the class of copulas having regular tails with a uniform expansion. We present several equivalent characterizations of uniform tail expansions. Next, basing on them, we determine the class of...
On using multistage linking constraints for stochastic optimization as a decision-making aid
We present a model1ing framework for multistage planning problems under uncertainty in the objective function coefficients and right-hand-side. A multistagy scenario analysis scheme with partial recourse is used. So, the decisíon polícy can be implemented for a given set of initial time periods (so-called implementable time stage), such that the solution for the other periods lioes not need' to be anticipated and, then, it depends upon the scenario group to occur at each stage. In any ca~e the solution...
On valuation of derivative securities: A Lie group analytical approach
This paper proposes a Lie group analytical approach to tackle the problem of pricing derivative securities. By exploiting the infinitesimal symmetries of the Boundary Value Problem (BVP) satisfied by the price of a derivative security, our method provides an effective algorithm for obtaining its explicit solution.
On various criteria of optimality in probabilistic decision-making